2 papers
q-fin.PR2025
Small Volatility Approximation and Multi-Factor HJM Models
V. M. Belyaev
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.…
q-fin.PR2025
HJM Local Volatility Model
V. M. Belyaev
Local Volatility (LV) is a powerful tool for market modeling, enabling the generation of arbitrage-free scenarios calibrated to all European options. To implement LV, we need to in…