Auto-encoding term-structure models
An arbitrage-free low-dimensionality interest rate model is presented
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It is well known that yield curves have low effective dimensionality and can be accurately represented using very few latent variables. The recent extension to nonlinear representations by means of autoencoders (AEs) provides a further improvement in accuracy over classic linear representations. In this paper, Andrei Lyashenko, Fabio Mercurio and Alexander Sokol use AEs to capture the historical dependence structure of interest rates and introduce risk-neutral
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