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 …

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 …

Functional principal component analysis (FPCA) is an extension of conventional principal
component analysis (PCA) that allows the processing of functional data. Besides the …

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 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 …

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 …

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 …

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 …

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 …

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 …