Pricing of Basket Options Using Dimension Reduction and Adaptive Finite Differences in Space, and Discontinuous Galerkin in Time.
Lina von SydowParia GhafariErik LehtoMats WångersjöPublished in: ENUMATH (2015)
Keyphrases
- dimension reduction
- low dimensional
- principal component analysis
- high dimensional
- feature extraction
- high dimensional problems
- high dimensional data
- random projections
- singular value decomposition
- discriminative information
- variable selection
- manifold learning
- partial least squares
- dimensionality reduction
- option pricing
- linear discriminant analysis
- feature space
- data mining and machine learning
- feature selection
- finite dimensional
- high dimensionality
- differential equations
- partial differential equations
- dimension reduction methods
- pairwise
- preprocessing
- data analysis
- object recognition
- pattern recognition
- high dimensional data analysis