ON DYNAMIC FORWARD RATE MODELING AND PRINCIPAL COMPONENT ANALYSIS

DOI10.1142/S0219024914500290zbMath1304.91229MaRDI QIDQ3191835

Hans-Peter Bermin

Publication date: 25 September 2014

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

zbMATH Keywords

principal component analysisinterest ratesterm structureyield curveKarhunen-Loève expansionforward rates

Mathematics Subject Classification ID

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

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Cites Work

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• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• Markov interest rate models
• Pricing Interest-Rate-Derivative Securities
• Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model

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