Calibration of HJM models with neural networks

Implementation of Heath-Jarrow-Morton Interest Rate Model

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

Modelling IR dynamics - Heath Jarrow and Merton

Pricing Interest Rate Derivatives under HJM Model

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Interest Rate Modelling for Counterparty Credit Risk (HJM)

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

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

HJM model implemented in C++

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

2 factor HJM interest rate model

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

Building a no-arbitrage yield curve model from US Treasury data

Hull and white model with HJM framework

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Model for Options on Bond in HJM framework

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.

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