A multiobjective approach using consistent rate curves to the calibration of a Gaussian Heath-Jarrow-Morton model
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References listed on IDEAS
- Flavio Angelini & Stefano Herzel, 2005. "Consistent calibration of HJM models to cap implied volatilities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(11), pages 1093-1120, November.
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Keywords
HJM models; consistent forward rate curves; multiobjective calibration;All these keywords.
JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2008-07-20 (Econometrics)
- NEP-MAC-2008-07-20 (Macroeconomics)
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