World Business StrategiesServing the Global Financial Community since 2000

Workshop Day: Tuesday 5th April

Machine Learning Models for the Interest Rates

13.30 - 17.30

This workshop is complimentary to all conference attendees.

Machine Learning Models for the Interest Rates

Session One: Machine Learning Architecture (VAE, VEGD) – 13:30 to 15:00

  • Variational autoencoder architecture (VAE)
    • The roles of encoder and decoder, latent space
    • Deliberately introducing uncertainty in reconstruction
    • Loss function and optimization loop
    • Reconstruction with VAE
    • Generation with VAE
  • Variational encoder-generator-decoder architecture (VEGD)
    • The role of generator between encoder and decoder
    • Generator parameterization
    • Generator training
  • Hands-on examples with Python
    • VAE for handwritten digits from the MNIST dataset
    • VEGD for arithmetic on handwritten digits from the MNIST dataset

Coffee Break – 15:00 to 15:30

Session Two: Application to Interest Rate Models – 15:30 to 17:00

  • Principles of interest rate model construction
    • Stochastic drivers and state variables
    • Historical calibration in P-measure
    • Arbitrage-free calibration in Q-measure
    • Three types of interest rate models and connection between them
  • One factor short rate models
    • SDE models: HW, BK, CIR++
    • Machine learning (VEGD) models
  • Two factor short rate models
    • SDE models: HW2F/G2, CIR2++
    • Machine learning (VEGD) models
  • Forward rate models
    • Single rate SDE models: Black, SABR
    • Forward curve SDE models: HJM, LMM, SABR-LMM
    • Machine learning (VEGD) models
  • Curve basis models
    • Static models: Nelson-Siegel (NS), Nelson-Siegel-Svensson (NSS)
    • SDE models: AFNS, Factor HJM
    • Machine learning (VAE) counterparts of static models
    • Machine learning (VEGD) counterparts of SDE models
  • Hands-on examples with Python
    • VAE for the yield curve with one and two dimensional latent space
    • Historical VEGD model training in P-measure
    • Arbitrage-free market implied VEGD model calibration in Q-measure

Q&A – 17:00 to 17:30

Alexander Sokol:

Executive Chairman and Head of Quant Research, CompatibL

  • Discount Structure
  • Special Offer
    When two colleagues attend the 3rd goes free!

  • 70% Academic Discount
    (FULL-TIME Students Only)

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