Small Volatility Approximation and Multi-Factor HJM Models

V. M. Belyaev

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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.

Date: 2025-06
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