In this paper, an empirical implementation of the HJM model is attempted with an application to Japanese interest futures and the self-consistency is tested. Our empirical results show tha the model we specify can be used to price contigent claims on Bond futures traded at the Tokyo...

Abstract: Data depth measures the centrality of a point with respect to a given distribution or data cloud. It provides a natural center-outward ordering of multivariate data points and yields a systematic nonparametric multivariate analysis scheme. In particular, the halfspace depth is shown to...

Department: Mathematics.