Study of the dynamics of the interest rate swap using machine learning methods

DOI10.17721/1812-5409.2022/3.4OpenAlexW4385363089MaRDI QIDQ5057483

P. V. Aleksandrova, V. P. Zubchenko

Publication date: 16 December 2022

Published in: Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17721/1812-5409.2022/3.4

zbMATH Keywords

machine learningfair valueinterest rate swapUkrainian overnight interbank rate indexzero coupon yield curve

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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