相关论文: Joint ML estimation of all parameters in a discret…

We propose and analyze numerical methods for the Heath-Jarrow-Morton (HJM) model. To construct the methods, we first discretize the infinite dimensional HJM equation in maturity time variable using quadrature rules for approximating the…

A new test of a wide class of interest rate models is proposed and applied to a recently developed quantum field theoretic model and the industry standard Heath-Jarrow-Morton model. This test is independent of the volatility function unlike…

This paper considers the single factor Heath-Jarrow-Morton model for the interest rate curve with stochastic volatility. Its natural formulation, described in terms of stochastic differential equations, is solved through Monte Carlo…

We study the problems of consistency and of the existence of finite-dimensional realizations for multi-curve interest rate models of Heath-Jarrow-Morton type, generalizing the geometric approach developed by T. Bj\"ork and co-authors in the…

We develop an arbitrage-free deep learning framework for yield curve and bond price forecasting based on the Heath-Jarrow-Morton (HJM) term-structure model and a dynamic Nelson-Siegel parameterization of forward rates. Our approach embeds a…

In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Brownian motions. By using support arguments we prove that the resulting model is arbitrage free under proportional transaction costs in the same…

Joint maximum likelihood (JML) estimation is one of the earliest approaches to fitting item response theory (IRT) models. This procedure treats both the item and person parameters as unknown but fixed model parameters and estimates them…

We consider a generalization of the Heath Jarrow Morton model for the term structure of interest rates where the forward rate is driven by Paretian fluctuations. We derive a generalization of It\^{o}'s lemma for the calculation of a…

We consider a stochastic process model with time trend and measurement error. We establish consistency and derive the limiting distributions of the maximum likelihood (ML) estimators of the covariance function parameters under a general…

This note studies a certain stochastic evolution equation in the space of probability measures, including existence and uniqueness results. A solution of this equation gives rise, in a natural way, to an interest rate term structure model,…

As a consequence of the financial crises, risk management became more important and real-world dynamics of interest-rate models moved into the focus of interest. Since risk-neutral dynamics are classically important to compute prices of…

We present a HJM approach to the projection of multiple yield curves developed to capture the volatility content of historical term structures for risk management purposes. Since we observe the empirical data at daily frequency and only for…

For a long time interest-rate models were built on a single yield curve used both for discounting and forwarding. However, the crisis that has affected financial markets in the last years led market players to revise this assumption and…

Pricing interest-rate financial derivatives is a major problem in finance, in which it is crucial to accurately reproduce the time-evolution of interest rates. Several stochastic dynamics have been proposed in the literature to model either…

We combine the unbiased estimators in Rhee and Glynn (Operations Research: 63(5), 1026-1043, 2015) and the Heston model with stochastic interest rates. Specifically, we first develop a semi-exact log-Euler scheme for the Heston model with…

This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a link to equilibrium economics. We require that the pricing…

Given a Heath-Jarrow-Morton (HJM) interest rate model $\mathcal{M}$ and a parametrized family of finite dimensional forward rate curves $\mathcal{G}$, this paper provides a technique for projecting the infinite dimensional forward rate…

Parameter estimation in a class of heteroscedastic time series models is investigated. The existence of conditional least-squares and conditional likelihood estimators is proved. Their consistency and their asymptotic normality are…

We present Monte Carlo-Euler methods for a weak approximation problem related to the Heath-Jarrow-Morton (HJM) term structure model, based on \Ito stochastic differential equations in infinite dimensional spaces, and prove strong and weak…

For high-dimensional linear regression models, we review and compare several estimators of variances $\tau^2$ and $\sigma^2$ of the random slopes and errors, respectively. These variances relate directly to ridge regression penalty…