| License: Creative Commons Attribution 4.0 PDF - Published Version (907kB) |
- URN to cite this document:
- urn:nbn:de:bvb:355-epub-478933
- DOI to cite this document:
- 10.5283/epub.47893
This publication is part of the DEAL contract with Springer.
Abstract
The calibration of financial models is laborious, time-consuming and expensive, and needs to be performed frequently by financial institutions. Recently, the application of artificial neural networks (ANNs) for model calibration has gained interest. This paper provides the first comprehensive empirical study on the application of ANNs for calibration based on observed market data. We benchmark ...
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