Fellow actuary from the French Institute of Actuaries
Fellow of the French Institute of Actuaries / formerly Statistician in research
- Paris
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DeepOptimalOptionStopping
DeepOptimalOptionStopping PublicThis is a repository showcasing deep learning approaches for pricing American options. It implements two optimal stopping methods : Deep Longstaff-Schwartz and Deep Optimal Stopping.
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pls-shaving
pls-shaving Public"Gene shaving" - like algorithm (inspired by Hastie et al. 2000) using supervised PLS instead of PCA
Python
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