Nancy(Qingxin) Geng

Imperial College London - Department of Mathematics

MSc Mathematics and Finance student

South Kensington Campus

Imperial College

London, SW7 2AZ

United Kingdom

Goldman Sachs - London

130 Peterborough Court

133 Fleet Street

London, EC4A 2BB

United Kingdom

  • Imperial College London - Department of Mathematics

  • Goldman Sachs - London

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Dynamically Controlled Kernel Estimation

Number of pages: 17 Posted: 20 Apr 2021
Joerg Kienitz, Nikolai Nowaczyk and Nancy(Qingxin) Geng
University of Wuppertal - Applied Mathematics, Independent and Imperial College London - Department of Mathematics
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Abstract:

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Gaussian process regression, control variates, kernel density estimation, Monte Carlo, regression, exposure, hedging, machine learning