Sandrine Gümbel

University of Freiburg - Institut für Mathematische Stochastik

D-79104, Freiburg

Germany

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Scholarly Papers (1)

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Machine Learning for Multiple Yield Curve Markets: Fast Calibration in the Gaussian Affine Framework

Number of pages: 20 Posted: 12 May 2020
Sandrine Gümbel and Thorsten Schmidt
University of Freiburg - Institut für Mathematische Stochastik and University of Freiburg
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Abstract:

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Vasicek model, single curve markets, affine models, multi curve markets, machine learning, Gaussian process regression, filtering, Adam optimizer, conjugate gradient method, term structure models