A bootstrapping market implied moment matching calibration for models with time-dependent parameters

A bootstrapping market implied moment matching calibration for models with time-dependent parameters

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Article ID: iaor20141984
Volume: 271
Start Page Number: 100
End Page Number: 116
Publication Date: Dec 2014
Journal: Journal of Computational and Applied Mathematics
Authors: ,
Keywords: simulation
Abstract:

  • Calibration of Markov models with piecewise constant parameters.
  • Use of the additive property of cumulants to perform a sequential calibration.
  • Comparison of the new calibration methodology with standard calibration procedures of term structure models.
  • Evidence of the supremacy of the bootstrapping calibration in terms of the matching of the moment term structure.
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