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http://hdl.handle.net/10609/18384
Title: | Volatility smile extrapolation with an artificial neural network |
Author: | Richter, Mark Michael |
Tutor: | García-Villoria, Alberto |
Others: | Universitat Oberta de Catalunya |
Abstract: | I use a multi-layer feedforward perceptron, with backpropagation learning implemented via stochastic gradient descent, to extrapolate the volatility smile of Euribor derivatives over low-strikes by training the network on parametric prices. |
Keywords: | Foundation Degree in Systems Informatics volatility smile neural network |
Document type: | info:eu-repo/semantics/bachelorThesis |
Issue Date: | 27-Dec-2012 |
Publication license: | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
Appears in Collections: | Bachelor thesis, research projects, etc. |
Files in This Item:
File | Description | Size | Format | |
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mrichtermTFG1212memoria.pdf | Memòria del projecte final | 1,09 MB | Adobe PDF | View/Open |
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