Model Calibration with Machine Learning
This dissertation focuses on the application of neural networks to financial model calibration. It provides an introduction to the mathematics of basic neural networks and training algorithms. Two simplified experiments based on the Black-Scholes and constant elasticity of variance models are used t...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2019
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| Online Access: | http://hdl.handle.net/11427/29451 |