{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,2]],"date-time":"2026-10-02T14:55:25Z","timestamp":1790952925843,"version":"4.1.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This work investigates the joint calibration of bonds and path-dependent interest-rate options whose payoff depends on the accumulated short-rate process. In contrast to standard vanilla interest-rate derivatives, such contracts contain information about the temporal and distributional properties of integrated rate paths, including persistence, jump activity, and tail behavior. To capture these effects, this paper proposes a shifted two-factor Hull-White model with bilateral block-intensity compound-Poisson jumps acting on the accumulated short-rate functional. The model is jointly calibrated to market yield-curve data and path-dependent option prices across multiple strikes and maturities, and compared against standard financial models. The proposed framework systematically achieves lower calibration errors across the joint dataset. The results support the interpretation that path-dependent interest-rate derivatives contain non-redundant information about the latent dynamics of accumulated rates that cannot be fully captured by Gaussian term-structure models.<\/jats:p>","DOI":"10.2139\/ssrn.7552777","type":"posted-content","created":{"date-parts":[[2026,10,2]],"date-time":"2026-10-02T14:28:46Z","timestamp":1790951326000},"source":"Crossref","is-referenced-by-count":0,"title":["On the Joint Calibration of Bonds and Path-dependent Interest Rate Derivatives"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-9763-6395","authenticated-orcid":true,"given":"Allan  Jonathan","family":"Silva","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3096-3129","authenticated-orcid":true,"given":"Jack","family":"Baczynski","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,2]],"date-time":"2026-10-02T14:28:46Z","timestamp":1790951326000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7552777"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7552777","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}