Cousin, Areski; Deleplace, Adrien; Misko, Adrien - In: Risks : open access journal 10 (2022) 12, pp. 1-19
entire 3D input domain). The cube is free from static arbitrage along the tenor and maturity directions if swaption prices … GP cube output as new observations (in terms of predictive error and absence of arbitrage). Finally, the GP approach is …