A Student-t CVAE with dynamic level injection and neural SDE under no-arbitrage PDE penalty models yield curves, reporting 6.58 bps out-of-sample RMSE on USD/GBP/JPY data while avoiding HJM violations.
The US Treasury yield curve: 1961 to the present
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Yield Curves Dynamics Using Variational Autoencoders Under No-arbitrage
A Student-t CVAE with dynamic level injection and neural SDE under no-arbitrage PDE penalty models yield curves, reporting 6.58 bps out-of-sample RMSE on USD/GBP/JPY data while avoiding HJM violations.