83 citations · 308 across the 26 of their papers we have counts for
4 papers · 1 filter
Model Interpretation: A Unified Derivative-based Framework for Nonparametric Regression and Supervised Machine Learning
Xiaoyu Liu, Jie Chen, Joel Vaughan +2
Interpreting a nonparametric regression model with many predictors is known to be a challenging problem. There has been renewed interest in this topic due to the extensive use of m…
Deep Learning-Based BSDE Solver for Libor Market Model with Application to Bermudan Swaption Pricing and Hedging
Haojie Wang, Han Chen, Agus Sudjianto +2
The Libor market model is a mainstay term structure model of interest rates for derivatives pricing, especially for Bermudan swaptions, and other exotic Libor callable derivatives.…
Explainable Neural Networks based on Additive Index Models
Joel Vaughan, Agus Sudjianto, Erind Brahimi +2
Machine Learning algorithms are increasingly being used in recent years due to their flexibility in model fitting and increased predictive performance. However, the complexity of t…
Locally Interpretable Models and Effects based on Supervised Partitioning (LIME-SUP)
Linwei Hu, Jie Chen, Vijayan N. Nair +1
Supervised Machine Learning (SML) algorithms such as Gradient Boosting, Random Forest, and Neural Networks have become popular in recent years due to their increased predictive per…