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A Proposed Risk Modeling Shift from the Approach of Stochastic Differential Equation towards Machine Learning Clustering : Illustration with the Concepts of Anticipative & Responsible VaR
Mahdavi-Damghani, Babak - 2017
The aim of this technical document is threefold with the bigger picture being to contribute, within the challenging regulatory environment, to bring closer together traditional conflicting practices such as trading vs risk as well as risk responsiveness vs stability. In order to achieve this...
Persistent link: https://www.econbiz.de/10012947545
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Probabilistic machine learning for local volatility
Tegnér, Martin; Roberts, Stephen - In: The journal of computational finance 25 (2021) 3, pp. 1-50
Persistent link: https://www.econbiz.de/10012873079
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Chance-constraint-based heuristic for production planning in the face of stochastic demand and workload-dependent lead times
Aouam, Tarik; Uzsoy, Reha - In: Decision policies for production networks, (pp. 173-208). 2012
Persistent link: https://www.econbiz.de/10009521074
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Zero-order production planning models with stochastic demand and workload-dependent lead times
Aouam, Tarik; Uzsoy, Reha - In: International journal of production research 53 (2015) 6, pp. 1661-1679
Persistent link: https://www.econbiz.de/10010500772