Calibration of HJM models with neural networks

The Heath-Jarrow-Morton Model (HJM Model) is used to model forward interest rates using a differential equation that allows for randomness. I explained the assumptions of HJM model, then demonstrated how to calibrate and use it for security pricing in Python. https://youtu.be/tB_O2UccDyQ

A Multi Factor HJM MonteCarlo Model with Principal Component Factors

Interest Rate Modelling for Counterparty Credit Risk (HJM)

Pricing Interest Rate Derivatives under HJM Model

This study endeavors to illustrate the calibration process of the Heath-Jarrow-Morton (HJM) model, with a specific focus on German power swaps throughout the monitoring period spanning the fourth quarter of 2024.

In this repository we cover the application of Principal Component Analysis to two areas of fixed income: to induce correlation in multi factor models such as LMM and HJM, and to hedge interest rate risk

standard HJM stochastic interest rate model

HJM model

Implementation of HJM Model & Derivative Pricing

The project calibrates an HJM model on German electricity swaps and prices structured payoffs

HJM model implemented in C++

HJM Modelling of the Forward rates and pricing Rate sensitive products from it.

2 factor HJM interest rate model

Hull and white model with HJM framework

Model for Options on Bond in HJM framework

UTS Interest Rate and Credit Risk Modeling Assignment 2 - Hedgng Swaption under HJM model

A small Streamlit app for exploring a Heath-Jarrow-Morton (HJM) rate model.

Code for the Paper: American Equity Option Pricing Using the HJM Model

HJM-based multi-commodity energy model with PCA calibration and Monte Carlo pricing of structured derivatives.

Here, I used 4 well known interest rate models- Vasicek, CIR, Hull-White, HJM, to estimate the forward curve for future dates to develop trading startergies.

Interest Rate Derivatives Pricing Engine based on a 2-Factor HJM Model framework. Features Monte Carlo simulation for Caplets and exotic spread options, including risk sensitivity (Greeks) calibration.

This notebook implements an demonstrative/illustrative single-factor HJM forward-rate model with CEV scaling and a single mean-reverting stochastic volatility factor, calibrated to caplet and swaption markets.

Implementation and theoretical analysis of short-rate models (Vasicek, CIR) and forward-rate frameworks (HJM) for bond pricing and interest rate dynamics. Developed for MSc in Financial Risk and Data Analysis.

In this project, we use Python to implement the Heath-Jarrow-Morton (HJM) framework for modeling the evolution of forward interest rates. We begin by preprocessing historical interest rate data and applying Principal Component Analysis (PCA) to identify the key risk factors driving rate movements.