Articles by Andrei Lyashenko
Auto-encoding term-structure models
An arbitrage-free low-dimensionality interest rate model is presented
The factor Heath-Jarrow-Morton term structure
A framework for rates that links real-world and risk-neutral measures is presented
The curious case of backward short rates
A discretisation approach for both backward- and forward-looking interest rate derivatives is proposed
Libor replacement II: completing the generalised FMM
The FMM is upgraded to model the full term structure, pricing all possible bonds and the bank account