Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks.
Luca CapriottiPublished in: Algorithmic Finance (2015)
Keyphrases
- likelihood ratio
- high accuracy
- cost function
- hypothesis testing
- high order
- error rate
- higher order
- machine learning
- significant improvement
- pairwise
- similarity measure
- support vector machine
- probabilistic model
- computational cost
- statistical analysis
- statistical model
- machine learning methods
- computational complexity