Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.21/5088
Título: Machine learning Vasicek model calibration with Gaussian processes
Autor: Sousa, João Beleza e
Esquivel, M. L.
Gaspar, R. M.
Palavras-chave: Arbitrage free risk neutral measure
Gaussian processes for machine learning
Vasicek interest rate model
Zero coupon bond prices
Data: 2012
Editora: Taylor & Francis
Citação: SOUSA, J. B.; ESQUIVEL, M. L.; GASPAR, R. M. – Machine learning Vasicek model calibration with Gaussian processes. Communications in Statistics-Simulation and Computation. ISSN: 0361-0918. Vol. 41, nr. 6 (2012), pp. 776-786
Resumo: 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.
Peer review: yes
URI: http://hdl.handle.net/10400.21/5088
DOI: 10.1080/03610918.2012.625324
ISSN: 0361-0918
Aparece nas colecções:ISEL - Eng. Elect. Tel. Comp. - Artigos

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