Arbitrage-Free Regularization


We introduce a path-dependent geometric framework which generalizes the HJM modeling approach to a wide variety of other asset classes. A machine learning regularization framework is developed with the objective of removing... [ view full abstract ]


  1. Anastasis Kratsios (Concordia University)
  2. Cody Hyndman (Concordia University)

Topic Areas

Arbitrage Theory , Machine Learning , Term-Structure Models


TH-A-UI » No-Arbitrage Theory and FTAP (11:30 - Thursday, 19th July, Ui Chadhain)

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