Stripping the Discount Curve—A Robust Machine Learning Approach

The authors thank Michael Bauer, Nicolas Camenzind, Xiaohong Chen, Darrell Duffie, Rüdiger Fahlenbrach, Kay Giesecke, Oliver Linton, Ken Singleton, Thomas Viehmann, and Sander Willems as well as seminar and conference participants at Stanford; Federal Institute of Technology Zurich; Columbia University; Yale University; Vienna University of Economics and Business; the University of Waterloo; the Swedish House of Finance; the World Online Seminars on Machine Learning in Finance; the 11th World Congress of the Bachelier Finance Society; the European Actuarial Academy Online Conference Convention A; the Hong Kong Conference for Fintech, AI and Big Data in Business; Swiss Re; the Ettore Majorana Foundation and Centre for Scientific Culture; NVIDIA; INFORMS; and the Society for Financial Econometrics Summer School for helpful comments. The authors also thank the China Merchants Bank for generous research support. Additionally, they thank Rose Wang for excellent research assistance.