2 papers
q-fin.ST2024
Multi-Factor Polynomial Diffusion Models and Inter-Temporal Futures Dynamics
Peilun He, Nino Kordzakhia, Gareth W. Peters +1
In stochastic multi-factor commodity models, it is often the case that futures prices are explained by two latent state variables which represent the short and long term stochastic…
q-fin.ST2024
State-Space Dynamic Functional Regression for Multicurve Fixed Income Spread Analysis and Stress Testing
Peilun He, Gareth W. Peters, Nino Kordzakhia +1
The Nelson-Siegel model is widely used in fixed income markets to produce yield curve dynamics. The multiple time-dependent parameter model conveniently addresses the level, slope,…