The Q-Measure Dynamics of Forward Rates

R Rebonato - Annual Review of Financial Economics, 2023 - annualreviews.org
I review how the theoretical modeling of the dynamics of forward rates in the context of
derivatives pricing has evolved over time. I review the theoretical developments from the …

Kriging of financial term-structures

A Cousin, H Maatouk, D Rullière - European Journal of Operational …, 2016 - Elsevier
Due to the lack of reliable market information, building financial term-structures may be
associated with a significant degree of uncertainty. In this paper, we propose a new term …

A time-varying distance based interval-valued functional principal component analysis method–A case study of consumer price index

L Sun, K Wang, L Xu, C Zhang, T Balezentis - Information Sciences, 2022 - Elsevier
Functional principal component analysis (FPCA) is an extension of conventional principal
component analysis (PCA) that allows the processing of functional data. Besides the …

[HTML][HTML] Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling

PJ Atkins, M Cummins - European Journal of Operational Research, 2023 - Elsevier
We consider the practice-relevant problem of modelling multiple price curves to support
activities such as price curve simulation and risk management. In this multi-curve setting, the …

Measurement of interest rates using a convex optimization model

J Blomvall - European Journal of Operational Research, 2017 - Elsevier
Measurement of a single interest rate curve is an important and well-studied inverse
problem. To select plausible interest rate curves from the infinite set of possible interest rate …

Simulation and evaluation of the distribution of interest rate risk

J Hagenbjörk, J Blomvall - Computational Management Science, 2019 - Springer
We study methods to simulate term structures in order to measure interest rate risk more
accurately. We use principal component analysis of term structure innovations to identify risk …

[HTML][HTML] Principal component analysis: A generalized Gini approach

A Charpentier, S Mussard, T Ouraga - European Journal of Operational …, 2021 - Elsevier
A principal component analysis based on the generalized Gini correlation index is proposed
(Gini PCA). The Gini PCA generalizes the standard PCA based on the variance. It is shown …

Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market

R Caldana, G Fusai, A Roncoroni - European Journal of Operational …, 2017 - Elsevier
We propose a constructive definition of electricity forward price curve with cross-sectional
timescales featuring hourly frequency on. The curve is jointly consistent with both risk …

Multivariate realized volatility: an analysis via shrinkage methods for Brazilian market data

LI Vieira, MP Laurini - Frontiers in Applied Mathematics and Statistics, 2024 - frontiersin.org
Introduction Realized volatility analysis of assets in the Brazilian market within a multivariate
framework is the focus of this study. Despite the success of volatility models in univariate …

Interest Rate Forecasting with Principal Component Analysis Based on Long-Run Covariance Matrix

H Hissinaga, M Laurini - Annals of Financial Economics, 2024 - World Scientific
Principal component analysis (PCA) is one of the most important methods in analyzing and
forecasting the term structure of interest rates. However, there are strong indications that it is …