Gaussian process regression for swaption cube construction under no-arbitrage constraints
Year of publication: |
2022
|
---|---|
Authors: | Cousin, Areski ; Deleplace, Adrien ; Misko, Adrien |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 10.2022, 12, Art.-No. 232, p. 1-19
|
Subject: | swaption cube | constrained kriging | no arbitrage | option pricing | Hamiltonian Monte Carlo | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Arbitrage | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Momentenmethode | Method of moments |
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