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Results for “SVD” · papers 2 · wiki 1
Academic Papers · 2arXiv q-fin live 0 · desk corpus 2
arXiv · arXiv · 2026
Return panels, covariances, and large feature matrices evolve one observation or one entry at a time, yet downstream models require an up-to-date low-rank factorization $A_t \approx U_t Σ_t V_t^\top$ on every tick -- a regime where full SVD is prohibitive and existing alternatives sacrifice either singular vectors, singular values, or long-horizon stability. We present a practical, metric-driven study of Brand-style …
Stilyan Staykov
arXiv · arXiv · 2019
We propose a new least-squares Monte Carlo algorithm for the approximation of conditional expectations in the presence of stochastic derivative weights. The algorithm can serve as a building block for solving dynamic programming equations, which arise, e.g., in non-linear option pricing problems or in probabilistic discretization schemes for fully non-linear parabolic partial differential equations. Our algorithm can…
Christian Bender, Nikolaus Schweizer
Option Blackboard · 0
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