A glimpse into my epic PhD journey from 2015 to 2018; on statistical/machine learning applied to Yield Curve interpolation, extrapolation and forecasting:

  • Some (4) presentations slides from 2015, 2016, 2017:

Link to presentations

  • A published paper:

Multiple Time Series Forecasting Using Quasi-Randomized Functional Link Neural Networks

  • An unpublished paper:

Swap curve construction for insurance pricing, based on no arbitrage short rate models