A new method for pricing interest-rate derivatives in fixed income markets.
Jack BaczynskiJuan B. R. OtazuJosé V. M. VicentePublished in: CDC (2017)
Keyphrases
- preprocessing
- clustering method
- objective function
- prior knowledge
- data sets
- computational cost
- error rate
- detection method
- computationally efficient
- segmentation method
- experimental evaluation
- dynamic programming
- cost function
- pairwise
- high precision
- classification method
- denoising
- synthetic data
- finite difference
- electronic commerce
- optimization algorithm
- level set
- support vector machine
- classification accuracy
- similarity measure