67 citations · 112 across the 10 of their papers we have counts for
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q-fin.ST2018
Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds
Greg Kirczenow, Masoud Hashemi, Ali Fathi +1
This paper studies an application of machine learning in extracting features from the historical market implied corporate bond yields. We consider an example of a hypothetical illi…
q-fin.MF2018
Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds (Preliminary Draft)
Greg Kirczenow, Ali Fathi, Matt Davison
This paper studies the application of machine learning in extracting the market implied features from historical risk neutral corporate bond yields. We consider the example of a hy…