A hybrid CVAE and neural SDE model with no-arbitrage PDE penalty produces low-error, arbitrage-free yield curve forecasts and regime detection across USD, GBP, and JPY data.
The US Treasury yield curve: 1961 to the present
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Yield Curves Dynamics Using Variational Autoencoders Under No-arbitrage
A hybrid CVAE and neural SDE model with no-arbitrage PDE penalty produces low-error, arbitrage-free yield curve forecasts and regime detection across USD, GBP, and JPY data.