as two linear programs. Compared to parametric and nonparametric methods, our method balances extrapolation ability with …

Yield curve extrapolation to unobservable tenors is a key technique for the market-consistent valuation of actuarial … often used for yield curve extrapolation in risk management. However, it is difficult for the parsimonious parametric models … extrapolation method using machine learning. Using the long short-term memory architecture, we achieve purely data-driven yield …

as two linear programs. Compared to parametric and nonparametric methods, our method balances extrapolation ability with …