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Deep Calibration of Option Pricing Models
This dissertation investigates the calibration efficiency of short rate models using deep neural networks. The main focus is on the calibration of one-and-two factor Hull-White models to caplets and swaptions data, where the inputs are interest rate derivative prices or implied volatilities, and the...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2023
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