Model calibration with neural networks

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

CLICK HERE TO VIEW THE PDF

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

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: