The predict() method expects a matrix rather than a vector ... Many of my colleagues shy away from using Gaussian process regression, mostly because the underlying mathematics are very complex. But ...

The overall program structure is presented in Listing 1. The GPRProgram class houses the Main() method, which has all the control logic. The GPR class houses all the Gaussian process regression ...

To overcome these challenges, Yoshihiro Tawada and Toru Sugimura propose a new method to obtain a hedge strategy for options by applying Gaussian process regression to the policy function in Only ...

We present a multi-Gaussian process regression approach, which is well suited for the over-the-counter derivative portfolio valuation involved in credit valuation adjustment (CVA) computation. Our ...