Parameters model 2 factors HJM
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Hi to everyone.
I have a big problem, I hope someone can help me!
I must calibrate the parameters of the Heat-Jarrow-Morton model at 2-factors. I think I must use a minimization, but I'm very confused in particular with the Brownian motions and their correlation.
I ask to you if you can give me an idea of how approach the problem. I want know how calculate the short term volatility, the long term volatility, the mean reversion and the correlation between brownian motions for the HJM 2-factors model.
Please, help me!
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