Gaussian Process Models for Quantitative Finance

This book describes the diverse applications of Gaussian Process (GP) models in mathematical finance. Spurred by the transformative influence of machine learning frameworks, the text aims to integrate GP modeling into the fabric of quantitative finance. The first half of the book provides an entry point for graduate students, established researchers and quant practitioners to get acquainted with GP methodology. A systematic and rigorous introduction to both GP fundamentals and most relevant...