---
title: Estimating Mean Reversions in Interest Rates
url: https://www.ml-quant.com/papers/ssrn/4897350/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4897350
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4897350
featured: 2024-07-17
citations: unknown
topic: Macro-Finance & Rates
---


# Estimating Mean Reversions in Interest Rates

The article introduces a new method for calculating the rate at which interest rates return to their average in multifactor HJM models, important for pricing derivatives.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4897350
- Identifier: SSRN 4897350
- Released: 2024-07-17
- First featured: Quant Letter No. 57 (2024-07-17): https://www.ml-quant.com/issues/2024-07-17/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Macro-Finance & Rates

## Related

- [Real Estate Stock Inflation Resilience](https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-17-y-2024-i-12-p-530-d-1527108/): The Fama-French seven-factor model effectively estimates returns on Indonesian property and real estate stocks, which can hedge inflation and interest rates.
- [Symmetry classification and invariant solutions of the classical geometric mean reversion process](https://www.ml-quant.com/papers/doi/10-3934-dcdss-2024202/): The Lie symmetry method is applied to a Feynman-Kac formula for a more accurate assumption of short-term interest rate dynamics than the geometric Brownian motion.
- [Reassessing Unit Roots in Macro Variables: Evidence from Over 200 Years of Data across G7 Countries](https://www.ml-quant.com/papers/ssrn/5238504/): A 200-year study of 40 macroeconomic variables across G7 economies shows mean reversion in the U.S. and significant differences between countries.
- [Corporate Bond Pricing Challenges](https://www.ml-quant.com/papers/ssrn/4478575/): The effectiveness of multifactor models for corporate bond returns is debated, with a preference for the bond CAPM in analyses.
- [Machine Learning for Economic Forecasting: An Application to China's GDP Growth](https://www.ml-quant.com/papers/arxiv/2407.03595/): Machine learning models are more accurate than traditional methods or expert forecasts in predicting China's quarterly GDP growth, especially during stable economic periods.
- [The Software Complexity of Nations](https://www.ml-quant.com/papers/arxiv/2407.13880/): The article uses data on programming languages in open-source projects to estimate a country's software economic complexity, demonstrating its relevance to international differences in GDP per capita, income inequality, and emissions.