Approximating intractable short ratemodel distribution with neural network

12/29/2019

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by   Anna Knezevic, et al.

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We propose an algorithm which predicts each subsequent time step relative to the previous time step of intractable short rate model (when adjusted for drift and overall distribution of previous percentile result) and show that the method achieves superior outcomes to the unbiased estimate both on the trained dataset and different validation data.