Accuracy of deep learning in calibrating HJM forward curves
Fred Espen Benth, Nils Detering, Silvia Lavagnini
| Year of publication: |
2021
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|---|---|
| Authors: | Benth, Fred Espen ; Detering, Nils ; Lavagnini, Silvia |
| Published in: |
Digital finance : smart data analytics, investment innovation, and financial technology. - [Cham] : Springer Nature Switzerland AG, ISSN 2524-6186, ZDB-ID 2947479-6. - Vol. 3.2021, 3/4, p. 209-248
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| Subject: | Heath-Jarrow-Morton approach | Infinite dimension | Energy markets | Option pricing | Neural networks | Model calibration | Neuronale Netze | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Energiemarkt | Energy market |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s42521-021-00030-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012697962