Interest-Rate Modeling with Multiple Yield Curves
نویسندگان
چکیده
منابع مشابه
Machine learning analysis and modeling of interest rate curves
The present research deals with the review of the analysis and modeling of Swiss franc interest rate curves (IRC) by using unsupervised (SOM, Gaussian Mixtures) and supervised machine (MLP) learning algorithms. IRC are considered as objects embedded into different feature spaces: maturities; maturity-date, parameters of Nelson-Siegel model (NSM). Analysis of NSM parameters and their temporal an...
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The paper presents the analysis of temporal evolution of interest rate curves (IRC). IRC are considered as objects embedded in a high-dimensional space composed of 13 different maturities. The objective of the analysis was to apply a nonlinear nonparametric tool (Self-Organising Maps) to study the clustering of IRC in three different representations: the original curves, the increments and 3-pa...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1629688