Complimentary Workshop: Machine Learning Models for the Interest Rates

WBS Training Ltd organizes workshops and conferences for the capital markets and treasury divisions of investment companies worldwide, with all our efforts centered solely on the education of our clients. WBS Training does not operate to present dozens of events every year. Instead we select only the most innovative, pertinent and dynamic subjects, thus bridging the gap between the latest theoretical developments through to proven practical trading floor requirements. Therefore, we aim to ensure that such requirements can be effectively implemented in the real financial world.Our depth of experience within the training environment provides us with a greater knowledge and understanding of what our clients require from financial business training. This promotes the unique position of us delivering the quality and service that is crucial to our client’s continued success and competitive advantage in the market place.

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Day 1: Variational Autoencoder (VAE) for the Yield Curve & Day 2: Machine Learning Models in Q- and P-Measure

WBS Training is inviting you to a scheduled Zoom meeting.Topic: CompatibL Workshop: Machine Learning Models for the Interest Rates (DAY 1)Time: Tuesday 7th June 2022 15:00 - 17.00 BSTJoin Zoom Meeting: <a href="https://us06web.zoom.us/j/89126494861?pwd=R0h3eENXSWNJYnJ0S09FRUlSR1RBQT09" target="_blank" data-msys-clicktrack="0" rel="nofollow noopener noreferrer">https://us06web.zoom.us/j/89126494861?pwd=R0h3eENXSWNJYnJ0S09FRUlSR1RBQT09</a>Meeting ID: 891 2649 4861Passcode: MLm0622aDial by your locationMeeting ID: 891 2649 4861Passcode: 97205771Find your local number: https://us06web.zoom.us/u/kbTf9kYBQXTopic: CompatibL Workshop: Machine Learning Models for the Interest Rates (DAY 2)Time: Wednesday 8th June 2022 15:00 - 17.00 BSTJoin Zoom Meeting: <a href="https://us06web.zoom.us/j/86076006098?pwd=UW5RblVPMFBlb2lUZVBka0ZtaFNQZz09" target="_blank" data-msys-clicktrack="0" rel="nofollow noopener noreferrer">https://us06web.zoom.us/j/86076006098?pwd=UW5RblVPMFBlb2lUZVBka0ZtaFNQZz09</a>Meeting ID: 860 7600 6098Passcode: MLm0622bDial by your locationMeeting ID: 860 7600 6098Passcode: 26592253Find your local number: https://us06web.zoom.us/u/kcrUp8pIMwMachine Learning Models for the Interest RatesSession One/Day 1: Variational Autoencoder (VAE) for the Yield CurveTuesday 7th June: 15.00 - 17.00 BST VAE architecture <ul><li>The roles of encoder and decoder</li><li>Deliberately introducing uncertainty in reconstruction</li><li>Loss function and optimization loop</li><li>Reconstruction with VAE</li><li>Generation with VAE</li></ul>VAE for the yield curve <ul><li>Curve representation</li><li>Training on historical data</li><li>One-hot encoding of currency</li><li>VAE with dimensional latent space</li><li>VAE with separable two dimensional latent space</li><li>VAE with non-separable two dimensional latent space</li><li>Comparison to Nelson-Siegel (NS) and Nelson-Siegel-Svensson (NSS) basis</li></ul>Hands-on examples with Python <ul><li>VAE for handwritten digits from the MNIST dataset</li><li>VAE for the yield curve</li></ul>Session Two/Day 2: Machine Learning Models in Q- and P-MeasureWednesday 8th June: 15.00 - 17.00 BST Timing: each session 2 hours with 5 min coffee break.One factor short rate models <ul><li>Classical time-homogeneous one factor short rate models (Vasicek, CIR, etc.)</li><li>Classical arbitrage-free one factor short rate models (HW, CIR++, etc.)</li><li>Autoencoder one factor short rate models in Q- and P-measure</li><li>Market implied and historical calibration</li></ul>Two factor short rate models <ul><li>Classical two factor short rate models (HW2F/G2, CIR2++, etc.)</li><li>Autoencoder two factor short rate models in Q- and P-measure</li><li>Market implied and historical calibration</li></ul>Forward rate models <ul><li>Classical forward rate models (HJM, LMM)</li><li>Autoencoder forward rate models in Q-measure</li><li>Market implied calibration</li></ul>Term rate models <ul><li>Classical term rate models (AFNS, Factor HJM)</li><li>Autoencoder term rate models in P-measure</li><li>Historical calibration</li></ul>Hands-on examples with Python <ul><li>Autoencoder short rate model in Q- and P-measure</li><li>Autoencoder forward rate model in Q-measure</li><li>Autoencoder term rate model in P-measure</li></ul>Timing: each session 2 hours with 5 min coffee break.

Presenter: Alexander Sokol: Executive Chairman and Head of Quant Research, CompatibL

Alexander Sokol is the founder, Executive Chairman, and Head of Quant Research at CompatibL, a trading and risk technology company. He is also the co-founder of Numerix, where he served as CTO from 1996 to 2003, and the co-founder of Duality Group, where he served as CTO from 2017 to 2020.

Alexander won the Quant of the Year Award in 2018 together with Leif Andersen and Michael Pykhtin, for their joint work revealing the true scale of the settlement gap risk that remains even in the presence of initial margin. Alexander’s other notable research contributions include systemic wrong-way risk (with Michael Pykhtin, Risk Magazine), joint measure models, and the local price of risk (with John Hull and Alan White, Risk Magazine), and mean reversion skew (Risk Books, 2014).

Alexander earned his BA from the Moscow Institute of Physics and Technology at the age of 18, and a PhD from the L. D. Landau Institute for Theoretical Physics at the age of 22. He was the winner of the USSR Academy of Sciences Medal for Best Student Research of the Year in 1988.

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Complimentary Workshop: Machine Learning Models for the Interest Rates

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