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We present a new methodology for the calibration of the Hull-White model to US market prices with consistent curves. It falls into the general class of nonlinear multicriteria optimization problems and we show how this algorithm is able to build a set of dicrete Pareto points of the implied trade-off curve. We also evaluate its fitting capabilities against non-consistent traditional methods with very...
By the fundamental neural filtering theorem, a properly trained recursive neural filter with fixed weights that processes only the measurement process generates recursively the conditional expectation of the signal process with respect to the joint probability distributions of the signal and measurement processes and any uncertain environmental process involved. This means that said recursive neural...
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