Workshop: Machine Learning Models for Interest Rates by Alexander Sokol
Session one/Day 1 (Tuesday, June 7, 15:00–17:00 BST): Variational Autoencoder (VAE) for the Yield Curve *VAE for handwritten digits from the MNIST dataset *VAE for the yield curve *Hands-on examples in Python Session two/Day 2 (Wednesday, June 8, 15:00–17:00 BST): Machine Learning Models in Q- and P-Measures *Autoencoder short rate model in the Q- and
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Editorial Team
- May 18, 2022
- 1 minute
Session one/Day 1 (Tuesday, June 7, 15:00–17:00 BST): Variational Autoencoder (VAE) for the Yield Curve
*VAE for handwritten digits from the MNIST dataset
*VAE for the yield curve
*Hands-on examples in Python
Session two/Day 2 (Wednesday, June 8, 15:00–17:00 BST): Machine Learning Models in Q- and P-Measures
*Autoencoder short rate model in the Q- and P-measures
*Autoencoder forward rate model in the Q-measure
*Autoencoder term rate model in the P-measure
*Hands-on examples in Python
The workshop is open to software engineers, data scientists, quantitative risk managers, and anyone who is interested in learning more about machine learning models and their applications in finance
