A general HJM framework for multiple yield curve modelling.

Christa Cuchiero Claudio Fontana Alessandro Gnoatto

Published in: Finance Stochastics (2016)

Keyphrases

neural network
special case
lightweight
closely related
endpoints
artificial intelligence
artificial neural networks
framework enables
real time
data sets
real world
reinforcement learning
probabilistic model
computational model
theoretical framework
bayesian framework