Accuracy of deep learning in calibrating HJM forward curves

Fred Espen Benth, Nils Detering, Silvia LavagniniFinTech金融人工智能Top Field

Digital Finance2021-04-10University of Oslo; University of California, Santa BarbaraDOI

Citations6

Heath–Jarrow–Morton frameworkValuation of optionsCalibrationArtificial neural networkForward contractBenchmark (surveying)Volatility (finance)EconometricsComputer scienceStochastic volatilityForward rateBlack–Scholes model

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