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differential-machine-learning
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Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation det...
aad pricing notebooks tensorflow derivatives deep-learning risk-magazine backpropagation risk-management machine-learning regression-models quantitative-finance computational-finance automatic-differentiation
Created 2019-12-16
196 commits to master branch, last one 2 years ago