[HTML][HTML] Applying Heath-Jarrow-Morton model to forecasting the US Treasury daily yield curve rates

V Maltsev, M Pokojovy - Mathematics, 2021 - mdpi.com
The Heath-Jarrow-Morton (HJM) model is a powerful instrument for describing the stochastic
evolution of interest rate curves under no-arbitrage assumption. An important feature of the …

[PDF][PDF] Multifactorial Heath-Jarrow-Morton model using principal component analysis.

RA Garcia Gaona… - International Journal of …, 2024 - researchgate.net
In this study, we propose an implementation of the multifactor Heath-Jarrow-Morton (HJM)
interest rate model using an approach that integrates principal component analysis (PCA) …

[PDF][PDF] Multifactorial Heath-Jarrow-Morton model using principal component analysis

RAG Gaona, CAZ Quimbayo - International Journal of Electrical and …, 2024 - academia.edu
In this study, we propose an implementation of the multifactor Heath-Jarrow-Morton (HJM)
interest rate model using an approach that integrates principal component analysis (PCA) …

Replication scheme for the Pricing of European options

H Funahashi - International Journal of Theoretical and Applied …, 2021 - World Scientific
This paper proposes an efficient method for calculating European option prices under local,
stochastic, and fractional volatility models. Instead of directly calculating the density function …