A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Improved calibration of HJM models using small volatility approximation.
Derives formulas for swaption prices in HJM model and uses nonparametric fit to identify arbitrage opportunities.
Proposes an alternative method for HJM models' existence.
Study shows short rate can explode to infinity in HJM model, impacting Eurodollar futures.
Paper proposes an alternative method to price American options using HJM approach.
Paper introduces a flexible HJM framework for consistent electricity prices.
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 spirit of Guasoni [Math. Finance 16 (2006) 569-582]. In particular, we obtain a …
Study shows explosion in yield curve models with positive probability.
Unified framework models multiple financial and insurance term structures.
Deep learning calibrates HJM forward curves for commodity options pricing.
Investor optimizes consumption and investment in a bond market described by HJM model.
Regularization approach for arbitrage-free HJM-type model selection in financial markets.
Improved LV model for interest rate swaptions and caplets.
We propose a general framework for modeling multiple yield curves which have emerged after the last financial crisis. In a general semimartingale setting, we provide an HJM approach to model the term structure of multiplicative spreads between FRA rates and simply compounded OIS risk-free forward rates. We derive an HJ…
Model interest rates and energy futures with regime-switching dynamics.
We introduce efficient numerical methods for generic HJM equations of interest rate theory by means of high-order weak approximation schemes. These schemes allow for QMC implementations due to the relatively low dimensional integration space. The complexity of the resulting algorithm is considerably lower than the comp…
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 a finite number of time-to-maturity buckets, we propose a modelling framework w…
We develop the HJM framework for forward rates driven by affine processes on the state space of symmetric positive matrices. In this setting we find a representation for the long-term yield and investigate the yield's asymptotic behaviour.
Proves existence of long bond, long forward measure, and long-term factorization in HJM models.
The Heath-Jarrow-Morton (HJM) formulation of treasury bonds in terms of forward rates is recast as a problem in path integration. The HJM-model is generalized to the case where all the forward rates are allowed to fluctuate independently. The resulting theory is shown to be a two-dimensional Gaussian quantum field theo…
Study quantos in energy markets using HJM framework and Malliavin calculus.
Deep learning framework for bond and yield curve forecasting with no-arbitrage constraints.
A quantum field theory generalization, Baaquie, of the Heath, Jarrow, and Morton (HJM) term structure model parsimoniously describes the evolution of imperfectly correlated forward rates. Field theory also offers powerful computational tools to compute path integrals which naturally arise from all forward rate models. …
The study uses reproducing kernels to model bond discount curves.
Abstract framework for cross-currency interest rate contracts.
Develops a framework for modeling interest rate markets with jumps.
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 arbitrage-free drift. This results in a finite dimensional system of stochastic dif…
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 accommodate basis-swap spreads, whose remarkable widening can no longer be neglecte…
This thesis renovates classic models for pricing inflation derivatives.
The analytical tractability of affine (short rate) models, such as the Vasicek and the Cox-Ingersoll-Ross models, has made them a popular choice for modelling the dynamics of interest rates. However, in order to account properly for the dynamics of real data, these models need to exhibit time-dependent or even stochast…
Unified framework for multiple yield curve models using affine processes.
We derive explicit valuation formulae for an exotic path-dependent interest rate derivative, namely an option on the composition of LIBOR rates. The formulae are based on Fourier transform methods for option pricing. We consider two models for the evolution of interest rates: an HJM-type forward rate model and a LIBOR-…
Develops a three-currency HJM framework for Brazilian credit markets, finding significant credit spread differences between indexed segments.
We use path integrals to calculate hedge parameters and efficacy of hedging in a quantum field theory generalization of the Heath, Jarrow and Morton (HJM) term structure model which parsimoniously describes the evolution of imperfectly correlated forward rates. We also calculate, within the model specification, the eff…
Calibrates historical and implied correlations in energy markets.
This note justifies approximations of arithmetic forwards using weighted averages of overnight forwards.
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 other tests previously proposed in the literature. It is found that the HJM mod…
We consider the problem of hedging a European interest rate contingent claim with a portfolio of zero-coupon bonds and show that an HJM type Markovian model driven by an infinite number of sources of randomness does not have some of the shortcomings found in the classical finite-factor models. Indeed, under natural con…
We study the optimal stopping problem of pricing an American Put option on a Zero Coupon Bond (ZCB) in the Musiela's parametrization of the Heath-Jarrow-Morton (HJM) model for forward interest rates. First we show regularity properties of the price function by probabilistic methods. Then we find an infinite dimensional…
A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting and the forward rates are driven by an infinite number of Levy factors is considered. The setting includes rating migrations driven by a Markov chain. All basic types of recovery are investigated. We formulate necessary and suff…
In order to study the geometry of interest rates market dynamics, Malliavin, Mancino and Recchioni [A non-parametric calibration of the HJM geometry: an application of Itô calculus to financial statistics, {\it Japanese Journal of Mathematics}, 2, pp.55--77, 2007] introduced a scheme, which is based on the Fourier Seri…
Enhances swaption modeling with rough stochastic volatility.
Collateralization with daily margining has become a new standard in the post-crisis market. Although there appeared vast literature on a so-called multi-curve framework, a complete picture of a multi-currency setup with cross-currency basis can be rarely found since our initial attempts. This work gives its extension r…
BSLP is a two-dimensional dynamic model of interacting portfolio-level loss and spread (more exactly, loss intensity) processes. The model is similar to the top-down HJM-like frameworks developed by Schonbucher (2005) and Sidenius-Peterbarg-Andersen (SPA) (2005), however is constructed as a Markovian, short-rate intens…
We construct normed spaces of real-valued functions with controlled growth on possibly infinite-dimensional state spaces such that semigroups of positive, bounded operators thereon with are in fact strongly continuous. This result applies to prove optimal rates of converge…
A new modelling approach that directly prescribes dynamics to the term structure of VIX futures is proposed in this paper. The approach is motivated by the tractability enjoyed by models that directly prescribe dynamics to the VIX, practices observed in interest-rate modelling, and the desire to develop a platform to b…
In this paper we establish a constructive method in order to show global existence and regularity for a class of degenerate parabolic Cauchy problems which satisfy a weak Hoermander condition on a subset of the domain where the data are measurable and which have regular data on the complementary set of the domain. This…
Study variance-optimal hedging of forward curve derivatives under stochastic volatility.