Cover Image

Arbitrage-Free Bond and Yield Curve Forecasting with Neural Filters under HJM Constraints

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Gao, Xiang, Hyndman, Cody
Format:	Preprint
Published:	2025
Subjects:	Mathematical Finance Machine Learning Computational Finance 91G30 (Primary) 65C30, 60H30 (Secondary)
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Boundary error control for numerical solution of BSDEs by the convolution-FFT method
by: Gao, Xiang, et al.
Published: (2025)

Convolution-FFT for option pricing in the Heston model
by: Gao, Xiang, et al.
Published: (2025)

Cross-Currency Basis Swaps Referencing Backward-Looking Rates
by: Ding, Yining, et al.
Published: (2024)

Choice of Collateral Currency in Differential Swaps
by: Ding, Yining, et al.
Published: (2026)

On the Weak Error for Local Stochastic Volatility Models
by: Friz, Peter K., et al.
Published: (2025)

American Option Pricing Under Time-Varying Rough Volatility: A Signature-Based Hybrid Framework
by: Shah, Roshan
Published: (2025)

Consumption-investment optimization with Epstein-Zin utility in unbounded non-Markovian markets
by: Feng, Zixin, et al.
Published: (2024)

The geometry of multi-curve interest rate models
by: Fontana, Claudio, et al.
Published: (2024)

Short-rate models with stochastic discontinuities: a PDE approach
by: Calvia, Alessandro, et al.
Published: (2025)

On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
by: Xodarev, Akmal
Published: (2026)

Efficient and accurate simulation of the stochastic-alpha-beta-rho model
by: Choi, Jaehyuk, et al.
Published: (2024)

Stochastic portfolio theory with price impact
by: Itkin, David
Published: (2025)

Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach
by: Chong, Wing Fung, et al.
Published: (2024)

Log-optimality with small liability stream
by: Anthropelos, Michail, et al.
Published: (2026)

Convergence in probability of numerical solutions of a highly non-linear delayed stochastic interest rate model
by: Coffie, Emmanuel
Published: (2025)

Arbitrage-Free Option Price Surfaces via Chebyshev Tensor Bases and a Hamiltonian Fog Post-Fit
by: Alvarez, Robert Jenkinson
Published: (2025)

Admissible Information Structures and the Non-Existence of Global Martingale Pricing
by: Dominguez, Alejandro Rodriguez
Published: (2026)

Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
by: Hu, Ying, et al.
Published: (2017)

Call Option Price using Pearson Diffusion Processes
by: Kar, Tapan, et al.
Published: (2025)

Universal basic income in a financial equilibrium
by: Weston, Kim
Published: (2026)

Calibration of the Bass Local Volatility model
by: Acciaio, Beatrice, et al.
Published: (2023)

On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula
by: Das, Kaustav, et al.
Published: (2021)

Portfolios Generated by Contingent Claim Functions, with Applications to Option Pricing
by: Fernholz, Ricardo T., et al.
Published: (2023)

Rank-Dependent Predictable Forward Performance Processes
by: Angoshtari, Bahman, et al.
Published: (2024)

On the short-time behaviour of up-and-in barrier options using Malliavin calculus
by: Burés, Òscar
Published: (2025)

Understanding the Commodity Futures Term Structure Through Signatures
by: Krishnan, Hari P., et al.
Published: (2025)

Linear short rate model with several delays
by: Roux, Alet, et al.
Published: (2024)

Analytical valuation of vulnerable derivative claims with bilateral cash flows under credit, funding and wrong-way risk
by: Miguelez, Juan Jose Francisco, et al.
Published: (2023)

Multifactor Quadratic Hobson and Rogers models
by: Foschi, Paolo
Published: (2025)

Gatheral double stochastic volatility model with Skorokhod reflection
by: Mishura, Yuliya, et al.
Published: (2025)

Pricing and calibration in the 4-factor path-dependent volatility model
by: Gazzani, Guido, et al.
Published: (2024)

Equilibrium with Heterogeneous Information Flows
by: Robertson, Scott
Published: (2023)

Pricing and hedging for a sticky diffusion
by: Anagnostakis, Alexis
Published: (2023)

The value of partial information
by: Ernst, Philip A., et al.
Published: (2025)

The indifference value of the weak information
by: Baudoin, Fabrice, et al.
Published: (2024)

Pricing with Passion: The Local Occupied Volatility (LOV) Model
by: Tissot-Daguette, Valentin
Published: (2026)

Radner equilibrium with population growth
by: Choi, Jin Hyuk, et al.
Published: (2025)

Credit Spreads' Term Structure: Stochastic Modeling with CIR++ Intensity
by: Alaya, Mohamed Ben, et al.
Published: (2024)

High order approximations and simulation schemes for the log-Heston process
by: Alfonsi, Aurélien, et al.
Published: (2024)

Correct implied volatility shapes and reliable pricing in the rough Heston model
by: Boyarchenko, Svetlana, et al.
Published: (2024)