Machine Learning Vasicek Model Calibration with Gaussian Processes
- Author
- BELEZA SOUSA, J1 2 ; ESQUIVEL, M. L2 ; GASPAR, R. M3
[1] M2A/DEETC, Instituto Superior de Engenharia de Lisboa, Instituto Politécnico de Lisboa, Lisboa, Portugal
[2] CMA/DM, Faculdade de Ciências e Tecnologia, Universidade Nova de Lisboa, Caparica, Portugal
[3] Advance Research Center, Instituto Superior de Economia e Gestão, Universidade Técnica de Lisboa, Lisboa, Portugal - Conference name
- St. Petersburg Workshop on Simulation. Part I (6 ; St Petersburg 2009-06-28)
- Source
Communications in statistics. Simulation and computation. 2012, Vol 41, Num 6-7, pp 776-786, 11 p ; ref : 1/4 p
- CODEN
- CSSCDB
- ISSN
- 0361-0918
- Scientific domain
- Mathematics
- Publisher
- Taylor & Francis, Colchester
- Publication country
- United Kingdom
- Document type
- Conference Paper
- Language
- Russian
- Author keyword
- 60G15 68T05 Arbitrage free risk neutral measure Calibration Gaussian processes for machine learning Primary 91G80 Secondary 91G30 Vasicek interest rate model Zero coupon bond prices
- Keyword (fr)
- Ajustement modèle Apprentissage Estimation moyenne Estimation non paramétrique Estimation statistique Maximisation Méthode gradient conjugué Méthode statistique Prix Processus Gauss Processus gaussien Régression statistique Simulation numérique Taux intérêt Taux risque 60G15 60J20 62G05 62Jxx Fonction covariance Modèle risque
- Keyword (en)
- Model matching Learning Mean estimation Non parametric estimation Statistical estimation Maximization Conjugate gradient method Statistical method Price Gaussian process Gaussian processes Statistical regression Numerical simulation Interest rate Risk rate Covariance function Risk model
- Keyword (es)
- Ajustamiento modelo Aprendizaje Estimación promedio Estimación no paramétrica Estimación estadística Maximización Método gradiente conjugado Método estadístico Precio Proceso Gauss Regresión estadística Simulación numérica Tasa interés Tasa riesgo
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01H Stochastic processes
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01J Markov processes
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02H Nonparametric inference
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis / 001A02I01Q Numerical methods in probability and statistics
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 25900602
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1080/03610918.2012.625324 
https://dx.doi.org/10.1080/03610918.2012.625324
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