Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "4242"
  #_source: array:26 [
    "id" => "4242"
    "slug" => "theory-and-calibration-of-hjm-with-shape-factors"
    "yearMonth" => "2001-11"
    "year" => "2001"
    "title" => "Theory and Calibration of HJM with Shape Factors"
    "description" => "RONCORONI, A. et GUIOTTO, P. (2001). Theory and Calibration of HJM with Shape Factors. Dans: <i>Mathematical Finance. Bachelier Congress 2000</i>. 1st ed. Springer, pp. 407-426."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "RONCORONI Andrea"
        "bid" => "B00006589"
        "slug" => "roncoroni-andrea"
      ]
      1 => array:1 [
        "name" => "GUIOTTO P."
      ]
    ]
    "ouvrage" => "Mathematical Finance. Bachelier Congress 2000"
    "keywords" => []
    "updatedAt" => "2021-09-06 14:06:32"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "407-426"
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Chapitres"
      "en" => "Book chapters"
    ]
    "support_type" => array:2 [
      "fr" => "Editeur"
      "en" => "Publisher"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "On propose un modèle dynamique pour l'évolution de la structure par terme de taux d'intérêt en l'absence d'opportunité d'arbitrage, dirigé par un nombre infini de facteurs. Chaque facteur représente une forme de base pour la courbe de taux forward instantanée dans un marché donné. On examine le problème de cohérence entre l'espace infini dimensionnel de polynômes où la courbe est calculée jour par jour et l'équation d'évolution proposée. Le résultat principal réside dans une procédure hybride de calibrage historico-implicite pour le modèle factoriel infini-dimensionnel. Dans ce contexte, nous calculons aussi une formule explicite pour le prix d'un caplet."
      "en" => "We construct arbitrage fee dynamics for the term structure of interest rates driven by infinitely many factors, each one representing a basic shape for the instantaneous forward rate curve in a given market. The consistency between a finite-dimensional space of polynomials where the curve is day-to-day recovered and the proposed evolution equation is investigated. The main result is the development of historical-implicit hybrid calibration procedure for our infinite-dimensional shape factor model. In this context, we also derive a pricing formula for caplets."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-11-21T11:21:49.000Z"
    "docTitle" => "Theory and Calibration of HJM with Shape Factors"
    "docSurtitle" => "Book chapters"
    "authorNames" => "<a href="/cv/roncoroni-andrea">RONCORONI Andrea</a>, GUIOTTO P."
    "docDescription" => "<span class="document-property-authors">RONCORONI Andrea, GUIOTTO P.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2001</span>"
    "keywordList" => ""
    "docPreview" => "<b>Theory and Calibration of HJM with Shape Factors</b><br><span>2001-11 | Book chapters </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Theory and Calibration of HJM with Shape Factors</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.953466
  +"parent": null
}