Model calibration with neural networks

Andres Hernandez presents a neural network approach to speed up model calibration

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The speed with which the calibration of a pricing model can be performed influences the usability of that model. Andres Hernandez shows calibration can be performed significantly faster, regardless of the chosen model, using artificial neural networks; this removes calibration speed as a factor when considering a model’s usability

There are several aspects that need to be taken into account when considering the applicability of a pricing model. One that is of central