Article Per Year (5 Year)
p-Index From 2021 - 2026
0.23
P-Index
This Author published in this journals
All Journal International Journal of Electrical and Computer Engineering
Zapata Quimbayo, Carlos Andres
Unknown Affiliation
Computer Science & IT Electrical & Electronics Engineering

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
Multifactorial Heath-Jarrow-Morton model using principal component analysis Garcia Gaona, Robinson Alexander; Zapata Quimbayo, Carlos Andres
International Journal of Electrical and Computer Engineering (IJECE) Vol 14, No 1: February 2024
Publisher : Institute of Advanced Engineering and Science

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.11591/ijece.v14i1.pp566-573

Abstract

In this study, we propose an implementation of the multifactor Heath-Jarrow-Morton (HJM) interest rate model using an approach that integrates principal component analysis (PCA) and Monte Carlo simulation (MCS) techniques. By integrating PCA and MCS with the multifactor HJM model, we successfully capture the principal factors driving the evolution of short-term interest rates in the US market. Additionally, we provide a framework for deriving spot interest rates through parameter calibration and forward rate estimation. For this, we use daily data from the US yield curve from June 2017 to December 2019. The integration of PCA, MCS with multifactor HJM model in this study represents a robust and precise approach to characterizing interest rate dynamics and compared to previous approaches, this method provided greater accuracy and improved understanding of the factors influencing US Treasury Yield interest rates.
Co-Authors Garcia Gaona, Robinson Alexander