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Rating Triggers for Collateral-Inclusive XVA via Machine Learning and SDEs on Lie Groups.

Kevin KammMichelle Muniz
Published in: CoRR (2022)
Keyphrases
  • machine learning
  • lie group
  • vector field
  • computer vision
  • geometric structure
  • infinite dimensional
  • learning tasks
  • covariance matrices
  • linear transformation
  • data points
  • mean shift
  • parameter space