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Gaussian process models for quantitative finance

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Gaussian process models for quantitative finance/ by Michael Ludkovski, Jimmy Risk.
作者:	Ludkovski, Michael.
其他作者:	Risk, Jimmy.
出版者:	Cham :Springer Nature Switzerland : : 2025.,
面頁冊數:	xii, 138 p. :ill. (chiefly color), digital ; : 24 cm.;
Contained By:	Springer Nature eBook
標題:	Stochastic Systems and Control. -
電子資源:	https://doi.org/10.1007/978-3-031-80874-6
ISBN:	9783031808746

Gaussian process models for quantitative finance
Ludkovski, Michael.

Gaussian process models for quantitative finance[electronic resource] /by Michael Ludkovski, Jimmy Risk. - Cham :Springer Nature Switzerland :2025. - xii, 138 p. :ill. (chiefly color), digital ;24 cm. - SpringerBriefs in quantitative finance,2192-7014. - SpringerBriefs in quantitative finance..

- 1. Gaussian Process Preliminaries -- 2. Covariance Kernels -- 3. Advanced GP Modeling Topics -- 4. Option Pricing and Sensitivities -- 5. Optimal Stopping -- 6. Non-Parametric Modeling of Financial Structures -- 7. Stochastic Control.

This book describes the diverse applications of Gaussian Process (GP) models in mathematical finance. Spurred by the transformative influence of machine learning frameworks, the text aims to integrate GP modeling into the fabric of quantitative finance. The first half of the book provides an entry point for graduate students, established researchers and quant practitioners to get acquainted with GP methodology. A systematic and rigorous introduction to both GP fundamentals and most relevant advanced techniques is given, such as kernel choice, shape-constrained GPs, and GP gradients. The second half surveys the broad spectrum of GP applications that demonstrate their versatility and relevance in quantitative finance, including parametric option pricing, GP surrogates for optimal stopping, and GPs for yield and forward curve modeling. The book includes online supplementary materials in the form of half a dozen computational Python and R notebooks that provide the reader direct illustrations of the covered material and are available via a public GitHub repository.

ISBN: 9783031808746

Standard No.: 10.1007/978-3-031-80874-6doiSubjects--Topical Terms:

1392035
Stochastic Systems and Control.

LC Class. No.: HG106

Dewey Class. No.: 332.0151

Gaussian process models for quantitative finance
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