This is a research moduel for Msc. Economics study in University of Bonn
It is done by Gewei Cao and Lindi Li
Our project studys about paper Stripping the Discount Curve—a Robust Machine Learning Approach written by Damir Filipovi´c Markus Pelger Ye Ye (2022)
In this paper, authors used RKHS to estimate discount curve and yield curve. Meanwhile, they also used Gaussian Process to perform inferences.
We used sample code provided by authors to speed up our project, but we have added more unique contents by ourselves.
The Jupyter Notebook KR_example.ipynb and simulation.ipynb contain our codes used in this study.