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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2019
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/1912.12615 |
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| _version_ | 1866911836547317760 |
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| author | Knezevic, Anna Dokuchaev, Nikolai |
| author_facet | Knezevic, Anna Dokuchaev, Nikolai |
| contents | We propose an algorithm which predicts each subsequent time step relative to the previous timestep of intractable short rate model (when adjusted for drift and overall distribution of previous percentile result) and show that the method achieves superior outcomes to the unbiased estimate both on the trained dataset and different validation data. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1912_12615 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Approximating intractable short ratemodel distribution with neural network Knezevic, Anna Dokuchaev, Nikolai Machine Learning Mathematical Finance We propose an algorithm which predicts each subsequent time step relative to the previous timestep of intractable short rate model (when adjusted for drift and overall distribution of previous percentile result) and show that the method achieves superior outcomes to the unbiased estimate both on the trained dataset and different validation data. |
| title | Approximating intractable short ratemodel distribution with neural network |
| topic | Machine Learning Mathematical Finance |
| url | https://arxiv.org/abs/1912.12615 |