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1. 1. Swedish Interest Rate Curve Dynamics Using Artificial Neural Networks

   University essay from KTH/Matematisk statistik

   Author : Richard Spånberg; Billy Wallander; [2020]
   Keywords : Artificial Neural Network; Yield curve; PCA; Financial Mathematics; Neurala Nätverk; Avkastningskurva; PCA; Finansiell Matematik;

   Abstract : This thesis is a comparative study where the question is whether a neural network approach can outperform the principal component analysis (PCA) approach for predicting changes of interest rate curves. Today PCA is the industry standard model for predicting interest rate curves. READ MORE