Small Volatility Approximation and Multi-Factor HJM Models
Fuente:
arXiv
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| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| Accesso online: | |
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| _version_ | 1866913893935218688 |
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| author | Belyaev, V. M. |
| author_facet | Belyaev, V. M. |
| contents | Here we demonstrate how we can use Small Volatility Approximation in calibration of Multi-Factor HJM model with deterministic correlations, factor volatilities and mean reversals. It is noticed that quality of this calibration is very good and it does not depend on number of factors. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2506_12584 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Small Volatility Approximation and Multi-Factor HJM Models Belyaev, V. M. Pricing of Securities Computational Finance Here we demonstrate how we can use Small Volatility Approximation in calibration of Multi-Factor HJM model with deterministic correlations, factor volatilities and mean reversals. It is noticed that quality of this calibration is very good and it does not depend on number of factors. |
| title | Small Volatility Approximation and Multi-Factor HJM Models |
| topic | Pricing of Securities Computational Finance |
| url | https://arxiv.org/abs/2506.12584 |