Calibrating the Mean-Reversion Parameter in the Hull-White Model Using Neural Networks

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Authors: Georgios Moysiadis, Ioannis Anagnostou, Drona Kandhai

Journal title: ECML PKDD 2018 Workshops - MIDAS 2018 and PAP 2018, Dublin, Ireland, September 10-14, 2018, Proceedings

Journal number: 11054

Journal publisher: Springer International Publishing

Published year: 2019

Published pages: 23-36

DOI identifier: 10.1007/978-3-030-13463-1_2

ISBN: 978-3-030-13462-4