Small Volatility Approximation and Multi-Factor HJM Models

2025/06/14 by V. M. Belyaev, Belyaev, V. M. · 1 voice
Economics, Econometrics and Finance · #Computational Finance (q-fin.CP) #FOS: Economics and business #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications #q-fin.CP #q-fin.PR

paper · pdf · doi:10.48550/arxiv.2506.12584

openalex publication_date 2025/06/14 · arxiv published 2025/06/14 · arxiv updated 2025/06/14 · openalex created_date 2025/10/13 · openalex updated_date 2026/07/28

Abstract

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.

Citations

• Swaption Prices in HJM model. Nonparametric fit

Discussions

• V. M. Belyaev: Small Volatility Approximation and Multi-Factor HJM Models https://arxiv.org/abs/2506.12584 https://arxiv.org/pdf/2506.12584 https://arxiv.org/html/2506.12584 [bsky, 0 points, 0 comments]

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