Loading...
2 results
Search Results
Now showing 1 - 2 of 2
- Brownian bridge and other path-dependent Gaussian processes vectorial simulationPublication . Beleza Sousa, João; Esquivel, M. L.; Gaspar, R. M.The iterative simulation of the Brownian bridge is well known. In this article, we present a vectorial simulation alternative based on Gaussian processes for machine learning regression that is suitable for interpreted programming languages implementations. We extend the vectorial simulation of path-dependent trajectories to other Gaussian processes, namely, sequences of Brownian bridges, geometric Brownian motion, fractional Brownian motion, and Ornstein-Ulenbeck mean reversion process.
- Machine learning Vasicek model calibration with Gaussian processesPublication . Beleza Sousa, João; Esquivel, M. L.; Gaspar, R. M.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 functions computed analytically, as well as likelihood derivatives with respect to the parameters. The maximization method used is the conjugate gradients. The only prices needed for calibration are zero coupon bond prices and the parameters are directly obtained in the arbitrage free risk neutral measure.