Deep Joint Learning valuation of Bermudan Swaptions

By Francisco Gómez Casanova, Álvaro Leitao, Fernando de Lope Contreras, Carlos Vázquez

Published 2024-04-17

Everscope rating

1703.7

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Deep Joint Learning. Problem types: Regression, Time Series Forecasting, Derivative Pricing.

arXiv:2404.11257 · Paper rankings

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