Small Volatility Approximation and Multi-Factor HJM Models
Published: Jun 14, 2025
Last Updated: Jun 14, 2025
Authors:V. M. Belyaev
Abstract
Here we demonstrate how we can use Small Volatility Approximation in calibration of Multi-Factor HJM model with deterministic correlations, factor volatilities and mean reversals. It is noticed that quality of this calibration is very good and it does not depend on number of factors.