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Original Articles

Machine Learning Vasicek Model Calibration with Gaussian Processes

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Pages 776-786 | Received 08 Feb 2010, Accepted 11 Jun 2010, Published online: 01 Feb 2012

References

  • Björk , T. ( 2004 ). Arbitrage Theory in Continuous Time. , 2nd ed. Oxford : Oxford University Press .
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  • Rasmussen , C. E. (2004). Gaussian processes in machine learning. In: Bosquet , O. , von Luxburg , U. , Rätsch , G. , eds. Advanced Lectures on Machine Learning: ML Summer Schools 2003, Revised Lectures . Springer-Verlag volume 3176 of Lecture Notes in Computer Science, pp. 63–71.
  • Rasmussen , C. E. , Williams , C. K. I. ( 2005 ). Gaussian Processes for Machine Learning . Cambridge , MA : The MIT Press .
  • Vasicek , O. ( 1977 ). An equilibrium characterization of the term structure . Journal of Financial Economics 5 : 177 – 188 .
  • Wolfram Research , I. ( 2009 ). Mathematica Edition: Version 7.01.0 .

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