03665nam 22007455 450 991098613280332120251030151323.09783031808746303180874610.1007/978-3-031-80874-6(MiAaPQ)EBC31947409(Au-PeEL)EBL31947409(CKB)37788182700041(OCoLC)1511106017(DE-He213)978-3-031-80874-6(EXLCZ)993778818270004120250307d2025 u| 0engurcnu||||||||txtrdacontentcrdamediacrrdacarrierGaussian Process Models for Quantitative Finance /by Michael Ludkovski, Jimmy Risk1st ed. 2025.Cham :Springer Nature Switzerland :Imprint: Springer,2025.1 online resource (323 pages)SpringerBriefs in Quantitative Finance,2192-70149783031808739 3031808738 - 1. Gaussian Process Preliminaries -- 2. Covariance Kernels -- 3. Advanced GP Modeling Topics -- 4. Option Pricing and Sensitivities -- 5. Optimal Stopping -- 6. Non-Parametric Modeling of Financial Structures -- 7. Stochastic Control.This book describes the diverse applications of Gaussian Process (GP) models in mathematical finance. Spurred by the transformative influence of machine learning frameworks, the text aims to integrate GP modeling into the fabric of quantitative finance. The first half of the book provides an entry point for graduate students, established researchers and quant practitioners to get acquainted with GP methodology. A systematic and rigorous introduction to both GP fundamentals and most relevant advanced techniques is given, such as kernel choice, shape-constrained GPs, and GP gradients. The second half surveys the broad spectrum of GP applications that demonstrate their versatility and relevance in quantitative finance, including parametric option pricing, GP surrogates for optimal stopping, and GPs for yield and forward curve modeling. The book includes online supplementary materials in the form of half a dozen computational Python and R notebooks that provide the reader direct illustrations of the covered material and are available via a public GitHub repository.SpringerBriefs in Quantitative Finance,2192-7014Social sciencesMathematicsStochastic processesMachine learningMathematics in Business, Economics and FinanceStochastic ProcessesMachine LearningStochastic Systems and ControlCiències socialsthubMatemàticathubProcessos estocàsticsthubAprenentatge automàticthubLlibres electrònicsthubSocial sciencesMathematics.Stochastic processes.Machine learning.Mathematics in Business, Economics and Finance.Stochastic Processes.Machine Learning.Stochastic Systems and Control.Ciències socialsMatemàticaProcessos estocàsticsAprenentatge automàtic519Ludkovski Michael1790682Risk Jimmy1790683MiAaPQMiAaPQMiAaPQBOOK9910986132803321Gaussian Process Models for Quantitative Finance4327413UNINA