Calibrating the Mean-Reversion Parameter in the Hull-White Model Using Neural Networks.
Georgios MoysiadisIoannis AnagnostouDrona KandhaiPublished in: MIDAS/PAP@PKDD/ECML (2018)
Keyphrases
- neural network
- computational model
- formal model
- probabilistic model
- parameter estimation
- parameter values
- experimental data
- statistical model
- pattern recognition
- probability distribution
- data sets
- linear model
- management system
- theoretical framework
- objective function
- reinforcement learning
- similarity measure
- high level
- multi layer
- hybrid model