Kriging of financial term-structures (Q323575): Difference between revisions

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-Didier Rullière
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+DiceOptim
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@@ Property / describes a project that uses @@
+DiceKriging
@@ Property / describes a project that uses: DiceKriging / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+EGO
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+MaRDI publication profile
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+W2265044661
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+.02237
@@ Property / arXiv ID: 1604.02237 / rank @@
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@@ Property / cites work @@
+Kriging with inequality constraints
@@ Property / cites work: Kriging with inequality constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Discount curve construction with tension splines
@@ Property / cites work: Discount curve construction with tension splines / rank @@
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+Estimating a fuzzy term structure of interest rates using fuzzy regression techniques.
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+Cross validation and maximum likelihood estimations of hyper-parameters of Gaussian processes with model misspecification
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+Generalization of the Kimeldorf-Wahba correspondence for constrained interpolation
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+A comparative evaluation of alternative models of the term structure of interest rates
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+Approximating term structure of interest rates using cubic \(L_1\) splines
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+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
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+The origins of kriging
@@ Property / cites work: The origins of kriging / rank @@
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+THE RANGE OF TRADED OPTION PRICES
@@ Property / cites work: THE RANGE OF TRADED OPTION PRICES / rank @@
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@@ Property / cites work @@
+A geostatistical approach for dynamic life tables: the effect of mortality on remaining lifetime and annuities
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+On the range of options prices
@@ Property / cites work: On the range of options prices / rank @@
+Normal rank
@@ Property / cites work @@
+Robustness of the Black and Scholes Formula
@@ Property / cites work: Robustness of the Black and Scholes Formula / rank @@
+Normal rank
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+Spatial dependence in credit risk and its improvement in credit scoring
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+Valuation of large variable annuity portfolios under nested simulation: a functional data approach
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+Monotone Emulation of Computer Experiments
@@ Property / cites work: Monotone Emulation of Computer Experiments / rank @@
+Normal rank
@@ Property / cites work @@
+Application of data clustering and machine learning in variable annuity valuation
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@@ Property / cites work @@
+Interpolation Methods for Curve Construction
@@ Property / cites work: Interpolation Methods for Curve Construction / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient global optimization of expensive black-box functions
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@@ Property / cites work @@
+A Correspondence Between Bayesian Estimation on Stochastic Processes and Smoothing by Splines
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+Constrained smoothing \(B\)-splines for the term structure of interest rates
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@@ Property / cites work @@
+A noisy principal component analysis for forward rate curves
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@@ Property / cites work @@
+Gaussian process emulators for computer experiments with inequality constraints
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@@ Property / cites work @@
+A New Rejection Sampling Method for Truncated Multivariate Gaussian Random Variables Restricted to Convex Sets
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@@ Property / cites work @@
+Kriging and splines with derivative information
@@ Property / cites work: Kriging and splines with derivative information / rank @@
+Normal rank
@@ Property / cites work @@
+An analytically tractable interest rate model with humped volatility
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@@ Property / cites work @@
+A cyclical square-root model for the term structure of interest rates
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@@ Property / cites work @@
+ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE
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+A tractable interest rate model with explicit monetary policy rates
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+Design and analysis of computer experiments. With comments and a rejoinder by the authors
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@@ Property / cites work @@
+The design and analysis of computer experiments.
@@ Property / cites work: The design and analysis of computer experiments. / rank @@
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@@ Property / cites work @@
+Interest rate term structure modelling
@@ Property / cites work: Interest rate term structure modelling / rank @@
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@@ Property / cites work @@
+Machine Learning Vasicek Model Calibration with Gaussian Processes
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