Gaussian Generation of Yield Curves - GenAI the Gaussian Way

Wilmott 2026

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Authors: Joerg Kienitz
DOI: 10.54946/wilm.12225
Cited by: 0

Abstract

Considering the application of Gaussian Mixture Models, particularly the stochastic sampling algorithm, to yield curve generation.

Fields of Study & Subjects

Stochastic processes and financial applications Financial Risk and Volatility Modeling Markov Chains and Monte Carlo Methods

Publication details

Journal / source
Wilmott
Volume
2026
Issue
142
Publication date
10 February 2026
Language
EN