Principal Components Analysis in Yield-Curve Modeling
Principal Components Analysis in Yield-Curve Modeling
Carlos F. Tolmasky
April 4, 2007
Carlos F. Tolmasky
Principal Components Analysis in Yield-Curve Modeling
Term Structure Models
Black-Scholes models 1 underlying.
Carlos F. Tolmasky
Principal Components Analysis in Yield-Curve Modeling
Term Structure Models
Black-Scholes models 1 underlying. What if we need more? spread, basket options.
Carlos F. Tolmasky
Principal Components Analysis in Yield-Curve Modeling
Term Structure Models
Black-Scholes models 1 underlying. What if we need more? spread, basket options. Need correlation structure of the market.
Carlos F. Tolmasky
Principal Components Analysis in Yield-Curve Modeling
Term Structure Models
Black-Scholes models 1 underlying. What if we need more? spread, basket options. Need correlation structure of the market. What if the market is naturally a curve?
Carlos F. Tolmasky
Principal Components Analysis in Yield-Curve Modeling
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