filippo fogliani

Intesa SanPaolo SpA - Financial and Market Risk Management Department

Milan

Italy

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Learning Bermudans

Number of pages: 24 Posted: 05 May 2021
Dipartimento di Fisica, Università degli Studi di Milano, Intesa Sanpaolo, CIB Division, Global Markets, Intesa Sanpaolo - Financial and Market Risk Management, Intesa Sanpaolo - Financial and Market Risk Management and Intesa SanPaolo SpA - Financial and Market Risk Management Department
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Abstract:

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Bermudan, Swaptions, Pricing, Interest Rates, Derivatives, Least Square, Monte Carlo, Hull-White model, G1++, Machine Learning, Supervised Learning, Neural Networks, Ridge, Support Vector Machine, Decision Tree, Random Forest, Gradient Boosted Regression Tree, K-Nearest Neighbours, Regression, Hedgi