{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/arbitrage-free-regularization","title":"Deep Learning in a Generalized HJM-type Framework Through Arbitrage-Free Regularization","arxiv_id":"1710.05114","date":"2017-10-14","proceeding":null,"authors":["Anastasis Kratsios","Cody B. Hyndman"],"abstract":"We introduce a regularization approach to arbitrage-free factor-model selection. The considered model selection problem seeks to learn the closest arbitrage-free HJM-type model to any prespecified factor-model. An asymptotic solution to this, a priori computationally intractable, problem is represented as the limit of a 1-parameter family of optimizers to computationally tractable model selection tasks. Each of these simplified model-selection tasks seeks to learn the most similar model, to the prescribed factor-model, subject to a penalty detecting when the reference measure is a local martingale-measure for the entire underlying financial market. A simple expression for the penalty terms is obtained in the bond market withing the affine-term structure setting, and it is used to formulate a deep-learning approach to arbitrage-free affine term-structure modelling. Numerical implementations are also performed to evaluate the performance in the bond market.","url_abs":"https://arxiv.org/abs/1710.05114v4","url_pdf":"https://arxiv.org/pdf/1710.05114v4.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"arbitrage-free-regularization","repo_url":"https://github.com/AnastasisKratsios/Deep_Arbitrage_Free_Regularization","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[{"task_slug":"model-selection","task_name":"Model Selection"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}