We show that the geometry of the Heath–Jarrow–Morton interest rates market dynamics can be non-parametrically calibrated by the observation of a single trajectory of the market evolution. Then the hypoellipticity of the infinitesimal generator can be exactly measured. On a data set of actual interest rates we show the prevalence of the hypoelliptic effect together with a sharp change of regime. Volatilities are computed by applying the Fourier cross-volatility estimation methodology
A non-parametric calibration of the HJM geometry: an application of Itô calculus to financial statistics / Malliavin, Paul; Mancino, Maria Elvira; Recchioni, MARIA CRISTINA. - In: JAPANESE JOURNAL OF MATHEMATICS. NEW SERIES. - ISSN 0289-2316. - 2:1(2007), pp. 55-77. [10.1007/s11537-007-0666-7]
A non-parametric calibration of the HJM geometry: an application of Itô calculus to financial statistics
RECCHIONI, MARIA CRISTINA
2007-01-01
Abstract
We show that the geometry of the Heath–Jarrow–Morton interest rates market dynamics can be non-parametrically calibrated by the observation of a single trajectory of the market evolution. Then the hypoellipticity of the infinitesimal generator can be exactly measured. On a data set of actual interest rates we show the prevalence of the hypoelliptic effect together with a sharp change of regime. Volatilities are computed by applying the Fourier cross-volatility estimation methodologyI documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
