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Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement.
Damiano Brigo
Marco Francischello
Andrea Pallavicini
Published in:
Eur. J. Oper. Res. (2019)
Keyphrases
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complementarity problems
credit scoring
variational inequalities
discriminative power
highly nonlinear
logistic regression
nonlinear models
decision trees
real option
high order
invariant features
data sets
credit card
sufficient conditions
kernel pca
computer vision
genetic algorithm