Host by CompatibL Technologies LLC Date November 17, 2021 01:00 pm Location Online

Workshop "Machine Learning Models for the Interest Rates”

The workshop will include two 1:45 hour sessions (13:00 – 14:45 and 15:00 – 16:45) with 15 min coffee break after the first session and 15 min Q&A after the second session.


1. Principles of interest rate model construction
*Defining the model in continuous vs. discrete time
*Term rate vs. forward rate models
*Stochastic drivers
*State variables
*Arbitrage-free calibration in Q-measure
*Historical calibration in P-measure
*Calibrated vs. non-calibrated model parameters

2. Introduction to variational autoencoders (VAE)
*The roles of Encoder and Decoder
*Introducing uncertainty in reconstruction
*Loss function and optimization loop
*Reconstruction with VAE
*Generation with VAE
*Handwritten digits VAE example
*Yield curve VAE example

3. Machine learning models for the interest rates
*Changing the architecture from reconstruction to simulation
*Replacing SDE with neural network based Decoder
*Replacing calibration with neural network based Encoder
*Loss function and optimization loop
*Arbitrage free calibration in Q-measure
*Historical calibration in P-measure
*One factor interest rate model example
*Multifactor interest rate model example

Speaker: Alexander Sokol, Head of Quant Research and Executive Chairman, CompatibL