Financial model calibration using consistency hints
نویسندگان
چکیده
منابع مشابه
Financial model calibration using consistency hints
We introduce a technique for forcing the calibration of a financial model to produce valid parameters. The technique is based on learning from hints. It converts simple curve fitting into genuine calibration, where broad conclusions can be inferred from parameter values. The technique augments the error function of curve fitting with consistency hint error functions based on the Kullback-Leible...
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ژورنال
عنوان ژورنال: IEEE Transactions on Neural Networks
سال: 2001
ISSN: 1045-9227
DOI: 10.1109/72.935092