3 citations · 3 across the 3 of their papers we have counts for
3 papers
q-fin.RM2022
Rating Triggers for Collateral-Inclusive XVA via Machine Learning and SDEs on Lie Groups
Kevin Kamm, Michelle Muniz
In this paper, we model the rating process of an entity by using a geometrical approach. We model rating transitions as an SDE on a Lie group. Specifically, we focus on calibrating…
q-fin.RM2022★ 3 cited
A novel approach to rating transition modelling via Machine Learning and SDEs on Lie groups
Kevin Kamm, Michelle Muniz
In this paper, we introduce a novel methodology to model rating transitions with a stochastic process. To introduce stochastic processes, whose values are valid rating matrices, we…
math.NA2021
Higher Strong Order Methods for Itô SDEs on Matrix Lie Groups
Michelle Muniz, Matthias Ehrhardt, Michael Günther +1
In this paper we present a general procedure for designing higher strong order methods for Itô stochastic differential equations on matrix Lie groups and illustrate this strategy w…