Kriging of financial term-structures
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Publication:323575
DOI10.1016/j.ejor.2016.05.057zbMath1346.91264arXiv1604.02237OpenAlexW2265044661MaRDI QIDQ323575
Hassan Maatouk, Didier Rullière, Areski Cousin
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1604.02237
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (13)
Generalization of the Kimeldorf-Wahba correspondence for constrained interpolation ⋮ Gaussian process emulators for computer experiments with inequality constraints ⋮ Efficiency improvement of kriging surrogate model by subset simulation in implicit expression problems ⋮ Sequential Construction and Dimension Reduction of Gaussian Processes Under Inequality Constraints ⋮ Finite-dimensional approximation of Gaussian processes with linear inequality constraints and noisy observations ⋮ A framework of zero-inflated Bayesian negative binomial regression models for spatiotemporal data ⋮ Approximating Gaussian Process Emulators with Linear Inequality Constraints and Noisy Observations via MC and MCMC ⋮ Gaussian processes for computer experiments ⋮ Finite-Dimensional Gaussian Approximation with Linear Inequality Constraints ⋮ Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods ⋮ Simulation and evaluation of the distribution of interest rate risk ⋮ Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints ⋮ Maximum likelihood estimation for Gaussian processes under inequality constraints
Uses Software
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