Optimizations in financial engineering: The Least-Squares Monte Carlo method of Longstaff and Schwartz.
Anamitra R. ChoudhuryAlan KingSunil KumarYogish SabharwalPublished in: IPDPS (2008)
Keyphrases
- monte carlo method
- least squares
- markov chain
- monte carlo
- posterior distribution
- genetic algorithm
- parameter estimation
- bayesian learning
- optical flow
- maximum likelihood estimation
- learning machines
- mathematical models
- probability distribution
- neural network
- computer vision
- feature selection
- pairwise
- noise level
- machine learning