4 papers
Ensemble learning for portfolio valuation and risk management
Lotfi Boudabsa, Damir Filipović
We introduce an ensemble learning method for dynamic portfolio valuation and risk management building on regression trees. We learn the dynamic value process of a derivative portfo…
Some properties of the Kilbas-Saigo function
Lotfi Boudabsa, Thomas Simon
We characterize the complete monotonicity of the Kilbas-Saigo function on the negative half-line. We also provide the exact asymptotics at , and uniform hyperbolic bounds…
Fractional extreme distributions
Lotfi Boudabsa, Thomas Simon, Pierre Vallois
We consider three classes of linear differential equations on distribution functions, with a fractional order The integer case corresponds to the three classica…
Machine learning with kernels for portfolio valuation and risk management
Lotfi Boudabsa, Damir Filipovic
We introduce a simulation method for dynamic portfolio valuation and risk management building on machine learning with kernels. We learn the dynamic value process of a portfolio fr…