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Gamal
Posts: 1284
Joined: February 26th, 2004, 8:41 am

Re: Two-factor Interest Rates model: intuitive parameters ?

August 21st, 2022, 8:14 am

In the first post it is not very clear if parameters are deterministic. About the Gaussian HJM - we know everything.
 
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pcaspers
Posts: 30
Joined: June 6th, 2005, 9:49 am
Location: Germany

Re: Two-factor Interest Rates model: intuitive parameters ?

December 25th, 2022, 7:26 pm

Piterbarg / Andersen "Interest Rate Modeling" has a chapter 12.1.5 "Multi-Factor Statistical Gaussian Model" that explores the relation between principal components of rate curve movements and the Gaussian model parameters (there is also a reference to the original paper underlying these ideas). Maybe worth a look.