Machine Learning Vasicek Model Calibration with Gaussian Processes

DOI10.1080/03610918.2012.625324zbMath1262.91162OpenAlexW3123450918WikidataQ58389610 ScholiaQ58389610MaRDI QIDQ4905880

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

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) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Kriging of financial term-structures

Uses Software

• Mathematica

Cites Work

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

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