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by nohedge
March 14th, 2019, 4:41 pm
Forum: Student Forum
Topic: Risk adjusted return-bond portfolio
Replies: 1
Views: 2712

Re: Risk adjusted return-bond portfolio

Generally speaking, with a non-flat spot curve (which is the actual shape of such a curve in real life) the concept of yield to maturity is misleading and cannot really be used to compare two bonds, not even if they have the same credit rating. Therefore, in this case the situation is even more ambi...
by nohedge
March 14th, 2019, 2:23 pm
Forum: Book And Research Paper Forum
Topic: Machine Learning for Bond Options pricing/hedging
Replies: 5
Views: 3108

Machine Learning for Bond Options pricing/hedging

Hello everyone,  I am working on my master thesis and I am studying the use of machine learning (mainly classical neural networks and variations, such as convolutional neural networks) to price and hedge bond options. I obviously found plenty of research on ML for pricing and hedging equity options,...
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