Kriging of financial term-structures
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- François Bachoc & Emile Contal & Hassan Maatouk & Didier Rullière, 2017. "Gaussian processes for computer experiments," Post-Print hal-01665936, HAL.
- St'ephane Cr'epey & Matthew Dixon, 2019. "Gaussian Process Regression for Derivative Portfolio Modeling and Application to CVA Computations," Papers 1901.11081, arXiv.org.
- repec:spr:comgts:v:16:y:2019:i:1:d:10.1007_s10287-018-0319-8 is not listed on IDEAS
More about this item
KeywordsModel risk; Interest-rate curve; OIS discount curve; Implied default distribution; Kriging;
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