« first day (1287 days earlier)   

12:07 PM
Hello,
I currently have a problem but don't know how to approach it. I was asked to price/hedge bermudean swaption for assets and liabilities management. I used different techniques and models to give an answer. But after a deeper look at our data, we aknowledged the fact that the exercices we observe are far from optimal.
I don't know how to begin with this kind of problem. I suggested a descriptive approach, ie try to find the rules followed by our clients
I asked a question here about machine learning but got no answer as my question was very vague.
In fact I don't know how to approach this subject. Do you have any idea ?
 

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