Listing 1: Complete Demo Program # synthetic_gpr.py # scikit Gaussian process regression on synthetic data # Anaconda3-2022.10 Python 3.9.13 # scikit 1.0.2 Windows 10/11 import numpy as np import ...

We present a multi-Gaussian process regression approach, which is well suited for the over-the-counter derivative portfolio valuation involved in credit valuation adjustment (CVA) computation. Our ...

Compared to other regression techniques, GPR is especially useful when there is limited training data. There are several tools and code libraries that you can use to create a GPR model. The ...