This article proposes a calibration algorithm that fits multifactor Gaussian models to the
implied volatilities of caps with the use of the respective minimal consistent family to infer the …

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 …

We use the extended CIR model to value interest rate caps and floors. The extension allows
arbitrary initial term structure, in the spirit of Hull and White, a crucial feature since we show …

This paper explores how consistent two‐dimensional families of forward rate curves can be
constructed on an international market. Applying the approach in Björk and Christenssen …

In a recent paper, Collin-Dufresne and Goldstein show that the movements of the yield curve
and of interest rate derivatives are mostly uncorrelated, advocating the presence of …

In this report we review and implement some commonly used stochastic models for equity
prices and interest rates with a view to long-term simulations such as in life and pension …

Any acceptable model that prices interest rate derivatives must fit the observed term
structure. This idea, pioneered by Ho and Lee (1986), has been explored in the past by …

We present a new methodology for the calibration of the Hull-White model to US market
prices with consistent curves. It falls into the general class of nonlinear multicriteria …

In this work, we develop a novel principal component analysis (PCA) for semimartingales by
introducing a suitable spectral analysis for the quadratic variation operator. Motivated by …

We introduce a statistical invariance test for the consistency between the shape of the yield
curve and the stochastic process driving interest rates. The analysis is cast in the Heath …