Host by CompatibL Technologies LLC Date November 18, 2021 12:00 am Location Online

17th Quantitative Finance Conference Online

CompatibL is honored to be a sponsor as well as one of the main participants at the event. Executive Chairman and Head of Quant Research Alexander Sokol will speak on “Variational Encoder-Decoder Models for the Interest Rates” on Day 1 of the main conference, Thursday 18 November, 2021 11:00–11:45 GMT (12:00–12:45 CET).
In this presentation, he will discuss a variational encoder-decoder model architecture for the interest rates in Q- and P-measure, analyze the difference between the proposed architecture and the classical variational autoencoder (VAE), and show how to build a wide variety of models with desirable properties depending on the available calibration data.