Machine Learning Models for Interest Rates by Alexander Sokol
VAE for handwritten digits from the MNIST dataset
VAE for the yield curve
Autoencoder short rate model in the Q- and P-measures
Autoencoder forward rate model in the Q-measure
Autoencoder term rate model in the P-measure
Hands-on examples in Python
The workshop is open to software engineers, data scientists, quantitative risk managers,
and anyone who is interested in learning more about machine learning models and their applications in finance.
Register