A bootstrapping market implied moment matching calibration for models with time-dependent parameters
作者：
Highlights：
• Calibration of Markov models with piecewise constant parameters.
• Use of the additive property of cumulants to perform a sequential calibration.
• Comparison of the new calibration methodology with standard calibration procedures of term structure models.
• Evidence of the supremacy of the bootstrapping calibration in terms of the matching of the moment term structure.
摘要
•Calibration of Markov models with piecewise constant parameters.•Use of the additive property of cumulants to perform a sequential calibration.•Comparison of the new calibration methodology with standard calibration procedures of term structure models.•Evidence of the supremacy of the bootstrapping calibration in terms of the matching of the moment term structure.
论文关键词：Market implied calibration,Moment matching,Bootstrapping calibration,Piecewise constant parameters,Term structure Lévy models
论文评审过程：Received 21 June 2013, Revised 31 March 2014, Available online 15 April 2014.
论文官网地址：https://doi.org/10.1016/j.cam.2014.04.005
