Machine learning Vasicek model calibration with Gaussian processes
In this article, we calibrate the Vasicek interest rate model under the risk neutral measure by learning the model parameters using Gaussian processes for machine learning regression. The calibration is done by maximizing the likelihood of zero coupon bond log prices, using mean and covariance funct...
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| Outros Autores: | , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2015
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10400.21/5088 |
| País: | Portugal |
| Oai: | oai:repositorio.ipl.pt:10400.21/5088 |