Re: Two-factor Interest Rates model: intuitive parameters ?
Posted: August 21st, 2022, 8:14 am
by Gamal
In the first post it is not very clear if parameters are deterministic. About the Gaussian HJM - we know everything.
Re: Two-factor Interest Rates model: intuitive parameters ?
Posted: December 25th, 2022, 7:26 pm
by pcaspers
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.