multi-curve markets

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

Sandrine Gümbel;Thorsten Schmidt;Gümbel, Sandrine;Schmidt, Thorsten;

2020 risks DOI: 10.3390/risks8020050 153 views

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Machine learning filtering vasiček model single-curve markets affine models gaussian process regression adam optimizer conjugate gradient method term structure models