GIRIBONE , P. G.

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The paper presents a new optimization heuristic called AFO-Attraction Force Optimization, able to maximize discontinuous, non-differentiable and highly non-linear functions in discrete simulation problems. The algorithm was developed specifically to overcome the limitations of traditional search algorithms in optimization problems performed on...

In this paper we test the capability of Radial Basis Function (RBF) networks to fit the yield curve under extreme conditions, namely in case of either negative spot interest rates, or high volatility. In particular, we compare the performances of conventional parametric models (Nelson–Siegel, Svensson and de Rezende–Ferreira) to those of RBF...