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Workshop

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