Embeds G2++ interest rate calibration into nonlinear regression to produce weighted hat matrix, influence functions, and functional delta method diagnostics, applied to 2016-2025 Euro ATM caps data.
Calibration of stochastic models for interest rate derivatives.Optimization, 58 (3):373–388, 2009
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Advanced Calibration Analysis and Tools: Identifying Influential Observations in Stochastic Interest Rate Model Calibration
Embeds G2++ interest rate calibration into nonlinear regression to produce weighted hat matrix, influence functions, and functional delta method diagnostics, applied to 2016-2025 Euro ATM caps data.