{"id":"W2184131131","doi":"","title":"Pricing Interest Rate Derivatives under Multi-Factor GARCH","year":2012,"lang":"en","type":"article","venue":"","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"York University","funders":"","keywords":"Coupon; Bond; Monte Carlo method; Econometrics; Interest rate; Short rate; Range (aeronautics); Zero-coupon bond; Mathematics; Computation; Yield curve; Yield (engineering); Economics; Fourier transform; Bond valuation; Variance (accounting); Statistics; Finance; Algorithm; Mathematical analysis; Engineering; Physics","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.003287925,0.001032104,0.001464123,0.0005047228,0.0003859933,0.001593892,0.001174497,0.001972089,0.001707684],"category_scores_gemma":[0.01057755,0.0006380298,0.001319892,0.0006517479,0.001215291,0.002565183,0.0008528669,0.00173057,0.000429142],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0007694436,"about_ca_system_score_gemma":0.0007973292,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.003116814,"about_ca_topic_score_gemma":0.002249283,"domain_scores_codex":[0.9989644,0.0005192891,0.00005767084,0.0001262067,0.0002644112,0.00006810175],"domain_scores_gemma":[0.9970173,0.002145005,0.000280267,0.0002153261,0.0002730351,0.00006914182],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00003598738,0.00002727227,0.0005391022,0.00005931433,0.0000526338,0.000191408,0.00010595,0.8376119,0.001784743,0.1445419,0.0005061528,0.01454373],"study_design_scores_gemma":[0.000006996098,0.00000836628,0.00006580037,0.000003714845,0.000004077695,0.00002246879,0.000003883131,0.9756026,0.0002094299,0.02387976,0.0001846316,0.000008099657],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.02327382,0.000496843,0.9745837,0.0001846643,0.00003640381,0.00001646637,0.00003877683,0.0002189162,0.001150382],"genre_scores_gemma":[0.7720696,0.001401993,0.2213097,0.0001267839,0.0002382763,0.00008125675,0.0002081151,0.0002065026,0.004357673],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.003287925,"threshold_uncertainty_score":0.0173884,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.206020707758414,"score_gpt":0.2989553985467849,"score_spread":0.09293469078837097,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}