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05/04/2020
Fitting Laplacian Regularized Stratified Gaussian Models
We consider the problem of jointly estimating multiple related zero-mean...
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03/05/2020
Convex Optimization Over Risk-Neutral Probabilities
We consider a collection of derivatives that depend on the price of an u...
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01/27/2020
Eigen-Stratified Models
Stratified models depend in an arbitrary way on a selected categorical f...
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04/26/2019