Browsing by Author "Alvarez Avamilano, Hugo"

Sort by: Order: Results:

  • Hull-White calibration for swaptions using neural networks
    Alvarez Avamilano, Hugo; Sacchi Córdova, Riccardo; Señaris, Tomás (2022-06)
    The purpose of this project is to calibrate the Hull-White model using data on at-the-money payer swaptions and Artificial Neural Networks (ANN) for 100 different combinations of expiries (T0) and tenors (Tn – T0). The ...

Search DSpace

Browse

My Account

In collaboration with Compliant to Partaking