On dynamic forward rate modeling and principal component analysis

DOI10.1142/S0219024914500290MaRDI QIDQ3191835zbMATH OpenFDO

Authors Hans-Peter Bermin

Publication date 25 September 2014

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024914500290

zbMATH Keywords

principal component analysisterm structureyield curveinterest ratesforward ratesKarhunen-Loève expansion

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Brownian motion (60J65) Generalizations of martingales (60G48) Stochastic integrals (60H05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 1324222 (Why is no real title available?)
• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Existence of invariant manifolds for stochastic equations in infinite dimension
• Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
• Markov interest rate models
• On the existence of finite-dimensional realizations for nonlinear forward rate models.
• Pricing interest-rate-derivative securities
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE

Cited in

(3)

• A comparative study of principal component analysis on term structure of interest rates
• On cash settled IRR-swaptions and Markov functional modeling
• A noisy principal component analysis for forward rate curves

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