Machine learning Vasicek model calibration with Gaussian processes

DOI10.1080/03610918.2012.625324MaRDI QIDQ4905880zbMATH OpenOpenAlexDBLPWikidataFDO

Authors J. Beleza Sousa, Manuel L. Esquível, Raquel M. Gaspar

Publication date 21 February 2013

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10400.21/5088

Mathematics Subject Classification ID

Gaussian processes (60G15) Learning and adaptive systems in artificial intelligence (68T05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80)

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Cites work

• An equilibrium characterization of the term structure
• Arbitrage Theory in Continuous Time
• Interest rate models -- theory and practice. With smile, inflation and credit

Cited in

(2)

• Kriging of financial term-structures
• An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions

Describes a project that uses

Uses Software

• Mathematica

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