Abstracts

Consistent yield curve modelling
Philipp Harms (ETH Zurich, Switzerland)
Joint work with Josef Teichmann

Thursday June 5, 11:30-12:00 | session 7.4 | Interest Rates | room K

We present a class of HJM models, which share numerical tractability with factor models, but allow for consistent re-calibration by today’s yield curve. By consistency, we mean that one and the same model is used for simulation, calibration, and estimation of the yield curve. From a mathematical point of view, a rich enough set of increment processes is described, whose concatenation converges to a limit process.