Differential Dimension Reduction

Differential Dimension Reduction

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Brian Huge and Antoine Savine of Fuperfly Analytics at Danske Bank extend differential machine learning (ML) to unsupervised models and design a new breed of principal component analysis (PCA) to correctly reduce dimension for risk management of financial Derivatives. Applications include the specification and calibration of pricing models, the automatic identification of regression features, and the preprocessing of simulated datasets for (differential) machine learning.

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