Zobrazeno 1 - 1
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pro vyhledávání: '"Adrien Deleplace"'
Publikováno v:
Risks, Vol 10, Iss 12, p 232 (2022)
In this paper, we introduce a 3D finite dimensional Gaussian process (GP) regression approach for learning arbitrage-free swaption cubes. Based on the possibly noisy observations of swaption prices, the proposed ‘constrained’ GP regression approa
Externí odkaz:
https://doaj.org/article/9c3e93e374114292896b274f19aa1329
