Yield curve extrapolation with machine learning

DOI10.1017/ASB.2024.27MaRDI QIDQ7021789zbMATH OpenFDO

Authors Shinobu Akiyama, Naoki Matsuyama

Publication date 26 February 2025

Published in ASTIN Bulletin (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

neural networkNelson-Siegel modelSvensson modellong short-term memorySmith-Wilson methodyield curve extrapolation

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Actuarial mathematics (91G05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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