Neural network calibration of the DDSVLMM interest rates model, and application to weights calculation

By Pierre-Edouard Arrouy, Paul Bonnefoy, Alexandre Boumezoued, Yousra Cherkaoui Tangi, Grzegorz Darkiewicz-Moniuszko, and Sophian Mehalla
29 November 2021

About the Author(s)

Pierre-Edouard Arrouy

Paris Tel: 33 1 42991560

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Paul Bonnefoy

Paris Tel: 33 1 42991560

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Alexandre Boumezoued

Paris Tel: 33 1 42991560

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Yousra Cherkaoui Tangi

Grzegorz Darkiewicz-Moniuszko

Warsaw Tel: 48 22 6306204

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Sophian Mehalla

Paris Tel: 33 6 33 65 6398

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