Consistent calibration of HJM models to cap implied volatilities
Consistent calibration of HJM models to cap implied volatilities
复制标题
HJM 模型的一致校准以限制隐含波动率
DOI：
10.1002/fut.20174
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发表时间：
2005
影响因子：
1.9
通讯作者：
S. Herzel
中科院分区：
文献类型：
--
作者：
Flavio Angelini;S. Herzel
本文提出了一种校正算法，该算法将多因素高斯模型与CAP的隐含波动率进行拟合，并使用各自的最小一致性族来推断远期利率曲线。将该算法应用于三种远期利率波动率结构及其组合，形成双因素模型。通过与非一致性方法的比较来评估一致性校准的效率。主成分分析支持因子数和波动率函数的选择。通过样本内和样本外数据拟合以及参数估计的稳定性对模型进行评估。对结果的分析主要集中在对市场隐含波动率曲线的拟合能力上，特别是再现其特征驼峰形状的能力。©2005威利期刊公司JRL Fut Mark 25：1093-1120,2005
This article proposes a calibration algorithm that fits multifactor Gaussian models to the implied volatilities of caps with the use of the respective minimal consistent family to infer the forward‐rate curve. The algorithm is applied to three forward‐rate volatility structures and their combination to form two‐factor models. The efficiency of the consistent calibration is evaluated through comparisons with nonconsistent methods. The selection of the number of factors and of the volatility functions is supported by a principal‐component analysis. Models are evaluated in terms of in‐sample and out‐of‐sample data fitting as well as stability of parameter estimates. The results are analyzed mainly by focusing on the capability of fitting the market‐implied volatility curve and, in particular, reproducing its characteristic humped shape. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:1093–1120, 2005