Bridging P-Q Modeling Divide with Factor HJM Modeling Framework

In this paper, we show how the factor modeling approach widely used to model yield curve evolution in real-world applications can be adapted to pricing applications using the Musiela HJM modeling framework. The resulting risk-neutral modeling framework combines the intuitiveness and computational efficiency of the factor modeling approach with the rigor of risk-neutral term structure pricing models

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Year of publication:	[2022]
Authors:	Lyashenko, Andrei ; Goncharov, Yevgeny
Publisher:	[S.l.] : SSRN
Subject:	Zinsstruktur \| Yield curve \| Theorie \| Theory \| CAPM \| Modellierung \| Scientific modelling

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