Multiple yield curve modeling and forecasting using deep learning
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Cites work
- A general HJM framework for multiple yield curve modelling
- A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Calibrating the Lee-Carter and the Poisson Lee-Carter models via neural networks
- Consistent yield curve prediction
- Deep learning
- Empirical analysis and forecasting of multiple yield curves
- Forecasting the term structure of government bond yields
- scientific article; zbMATH DE number 6378127 (Why is no real title available?)
- Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling
- Interest rate modeling: post-crisis challenges and approaches
- LocalGLMnet: interpretable deep learning for tabular data
- Modeling and forecasting the yield curve by an extended Nelson-Siegel class of models: a quantile autoregression approach
- Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
- Pricing interest-rate-derivative securities
- Regression Quantiles
- Robust forecasting of multiple yield curves
- Statistical foundations of actuarial learning and its applications
- Testing Distributions of Stochastically Generated Yield Curves
- The dynamics of economic functions: modeling and forecasting the yield curve
- The macroeconomy and the yield curve: a dynamic latent factor approach
- Time-series forecasting of mortality rates using deep learning
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