Black-box calibration of interest rate models for the pricing of swaptions
A DONATI - 2016 - politesi.polimi.it
In finance, pricing models represent the dynamics of interest rates and are used by financial
institutions to price different financial instruments. A central consideration for any pricing …
institutions to price different financial instruments. A central consideration for any pricing …
Artificial neural networks for interest and exchange rates models calibration. An approach based on FX implied volatilities and swaptions prices
E Mazzoni - 2018 - politesi.polimi.it
The essential goal of this thesis is to present some interest and foreign exchange rates
models and to evaluate the calibration of their parameters relying on the use of neural …
models and to evaluate the calibration of their parameters relying on the use of neural …
Neural network calibration of the two-additive factor Gaussian model. A machine learning approach to swaption pricing
L SABBIONI - 2017 - politesi.polimi.it
Pricing financial derivatives is one of the most important tasks for an investment bank: it is
often relying on the choice of a mathematical model that describes the dynamics of interest …
often relying on the choice of a mathematical model that describes the dynamics of interest …