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Neural network libor market model for pricing and hedging interest rate derivatives
In this dissertation, we will introduce a new formulation of variational auto-encoders in order to generate the data we require. Our variational auto-encoder is based on data generation principles from elementary probability i.e. finding the inverse cumulative distribution function and using uniform...
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| Format: | Thesis |
| Language: | English |
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Department of Statistical Sciences
2022
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