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On the calibration of a Gaussian Heath Jarrow Morton model using consistent forward rate curves / A Falcó, Ll Navarro and J Nave

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Figure 1: Market TSIR and TSV data in the two different market scenarios. 0 2 4 6 8 101234567samplemeanTSIR(%) 0 2 4 6 8 1018202224262830323436samplemeanσB(%)
Figure 2: Convergence properties for the joint calibration algorithm with MC family. SSE C contribution to total loss function on top SSE D contribution, from zero-coupon bond pricing errors on the bottom.
Figure 3: Discrete data for initial yield-curve estimation.
Figure 4: Summary statistics for calibration results with simulated data. MC ANS NS ε r (α) 0 0 0.23 ε r (β) 0 0 0.13 ε r (a) 0 0 8.7 10 −2 E1: C v (α) 0 0 0.18 r 0 (x) = r m∗ (x) C v (β) 0 0 0.14 C v (a) 0 0 9.7 10 −2 MSE 0 0 1.9 10 −3 ε r (α) 0.25 0 0.28
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