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Multi-Task Dynamic Pricing in Credit Market with Contextual Information

Javanmard, Adel et al.
arXiv (All) · Papers
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machine-learningpricing-of-securities
We study the dynamic pricing problem faced by a broker seeking to learn prices for a large number of credit market securities, such as corporate bonds, government bonds, loans, and other credit-related securities. A major challenge in pricing these securities stems from their infrequent trading and
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