Cousin, Areski; Deleplace, Adrien; Misko, Adrien - In: Risks : open access journal 10 (2022) 12, pp. 1-19
-free swaption cubes. Based on the possibly noisy observations of swaption prices, the proposed 'constrained' GP regression approach … entire 3D input domain). The cube is free from static arbitrage along the tenor and maturity directions if swaption prices …-dimensional weaker form of this condition is enough for the GP to generate swaption cubes with a negligible proportion of violation …