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Machine Learning Models for the Interest Rates: Day 1

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https://www.youtube.com/watch?v=gmeCT8DVJRo
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Machine Learning Models for the Interest Rates Session One/Day 1: Variational Autoencoder (VAE) for the Yield Curve Tuesday 7th June: 15.00 - 17.00 BST VAE architecture The roles of encoder and decoder Deliberately introducing uncertainty in reconstruction Loss function and optimization loop Reconstruction with VAE Generation with VAE VAE for the yield curve Curve representation Training on historical data One-hot encoding of currency VAE with dimensional latent space VAE with separable two dimensional latent space VAE with non-separable two dimensional latent space Comparison to Nelson-Siegel (NS) and Nelson-Siegel-Svensson (NSS) basis Hands-on examples with Python VAE for handwritten digits from the MNIST dataset VAE for the yield curve
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Name
Quants Hub & BTRM
Date
2022/06/13
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