Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models

DOI10.1007/BF01574151MaRDI QIDQ375376zbMATH OpenFDO

Authors Kin Pang

Publication date 30 October 2013

Published in Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

calibrationGaussian HJM modelsinterest rate term structure models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 3751955 (Why is no real title available?)
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Changes of numéraire, changes of probability measure and option pricing
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Pricing interest-rate-derivative securities
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD

Cited in

(12)

• A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities
• Valuation of caps and swaptions under a stochastic string model
• Efficient calibration of trinomial trees for one-factor short rate models
• On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent forward rate curves
• Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
• The stochastic string model as a unifying theory of the term structure of interest rates
• An approximation of caplet implied volatilities in Gaussian models
• Shape factors and cross-sectional risk
• Index options and volatility derivatives in a Gaussian random field risk-neutral density model
• Machine learning Vasicek model calibration with Gaussian processes
• The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration
• A Gaussian Process of Yield Rates Calibrated with Strips

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