Machine learning Vasicek model calibration with Gaussian processes

Detalhes bibliográficos
Autor(a) principal: Beleza Sousa, João
Data de Publicação: 2012
Outros Autores: Esquivel, M. L., Gaspar, R. M.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.21/5088
Resumo: In this article, we calibrate the Vasicek interest rate model under the risk neutral measure by learning the model parameters using Gaussian processes for machine learning regression. The calibration is done by maximizing the likelihood of zero coupon bond log prices, using mean and covariance functions computed analytically, as well as likelihood derivatives with respect to the parameters. The maximization method used is the conjugate gradients. The only prices needed for calibration are zero coupon bond prices and the parameters are directly obtained in the arbitrage free risk neutral measure.
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spelling Machine learning Vasicek model calibration with Gaussian processesArbitrage free risk neutral measureCalibrationGaussian processes for machine learningVasicek interest rate modelZero coupon bond pricesIn this article, we calibrate the Vasicek interest rate model under the risk neutral measure by learning the model parameters using Gaussian processes for machine learning regression. The calibration is done by maximizing the likelihood of zero coupon bond log prices, using mean and covariance functions computed analytically, as well as likelihood derivatives with respect to the parameters. The maximization method used is the conjugate gradients. The only prices needed for calibration are zero coupon bond prices and the parameters are directly obtained in the arbitrage free risk neutral measure.Taylor & FrancisRCIPLBeleza Sousa, JoãoEsquivel, M. L.Gaspar, R. M.2015-09-07T14:15:28Z2012-02-012012-02-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.21/5088engSOUSA, J. Beleza.; ESQUIVEL, M. L.; GASPAR, R. M. – Machine learning Vasicek model calibration with Gaussian processes. Communications in Statistics – Simulation and Computation. ISSN: 0361-0918. Vol. 41, N.º 6 (2012), pp. 776-786.0361-091810.1080/03610918.2012.625324metadata only accessinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-08-03T09:48:00Zoai:repositorio.ipl.pt:10400.21/5088Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:14:24.895987Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Machine learning Vasicek model calibration with Gaussian processes
title Machine learning Vasicek model calibration with Gaussian processes
spellingShingle Machine learning Vasicek model calibration with Gaussian processes
Beleza Sousa, João
Arbitrage free risk neutral measure
Calibration
Gaussian processes for machine learning
Vasicek interest rate model
Zero coupon bond prices
title_short Machine learning Vasicek model calibration with Gaussian processes
title_full Machine learning Vasicek model calibration with Gaussian processes
title_fullStr Machine learning Vasicek model calibration with Gaussian processes
title_full_unstemmed Machine learning Vasicek model calibration with Gaussian processes
title_sort Machine learning Vasicek model calibration with Gaussian processes
author Beleza Sousa, João
author_facet Beleza Sousa, João
Esquivel, M. L.
Gaspar, R. M.
author_role author
author2 Esquivel, M. L.
Gaspar, R. M.
author2_role author
author
dc.contributor.none.fl_str_mv RCIPL
dc.contributor.author.fl_str_mv Beleza Sousa, João
Esquivel, M. L.
Gaspar, R. M.
dc.subject.por.fl_str_mv Arbitrage free risk neutral measure
Calibration
Gaussian processes for machine learning
Vasicek interest rate model
Zero coupon bond prices
topic Arbitrage free risk neutral measure
Calibration
Gaussian processes for machine learning
Vasicek interest rate model
Zero coupon bond prices
description In this article, we calibrate the Vasicek interest rate model under the risk neutral measure by learning the model parameters using Gaussian processes for machine learning regression. The calibration is done by maximizing the likelihood of zero coupon bond log prices, using mean and covariance functions computed analytically, as well as likelihood derivatives with respect to the parameters. The maximization method used is the conjugate gradients. The only prices needed for calibration are zero coupon bond prices and the parameters are directly obtained in the arbitrage free risk neutral measure.
publishDate 2012
dc.date.none.fl_str_mv 2012-02-01
2012-02-01T00:00:00Z
2015-09-07T14:15:28Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.21/5088
url http://hdl.handle.net/10400.21/5088
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv SOUSA, J. Beleza.; ESQUIVEL, M. L.; GASPAR, R. M. – Machine learning Vasicek model calibration with Gaussian processes. Communications in Statistics – Simulation and Computation. ISSN: 0361-0918. Vol. 41, N.º 6 (2012), pp. 776-786.
0361-0918
10.1080/03610918.2012.625324
dc.rights.driver.fl_str_mv metadata only access
info:eu-repo/semantics/openAccess
rights_invalid_str_mv metadata only access
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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