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 P; M. MANCINO; RECCHIONI M.C. - In: JAPANESE JOURNAL OF MATHEMATICS. NEW SERIES. - ISSN 0289-2316. - STAMPA. - 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

MANCINO, MARIA ELVIRA;
2007

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 methodology.
2007
2 (1)
55
77
MALLIAVIN P; M. MANCINO; RECCHIONI M.C
File in questo prodotto:
File Dimensione Formato  
JJM.pdf

Accesso chiuso

Tipologia: Versione finale referata (Postprint, Accepted manuscript)
Licenza: Tutti i diritti riservati
Dimensione 264.63 kB
Formato Adobe PDF
264.63 kB Adobe PDF   Richiedi una copia

I documenti in FLORE sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificatore per citare o creare un link a questa risorsa: https://hdl.handle.net/2158/214454
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 8
  • ???jsp.display-item.citation.isi??? 5
social impact