Implementation of Multi-curve Heath-Jarrow-Morton (HJM) model with time-deterministic volatility

Since the outbreak of the 2007 global financial crisis, the unique yield curve assumption in interest rate modelling has been challenged due to unprecedented segmentation of curves. The interest rate modelling has then entered a new era, known as multi-curve interest rate modelling .The aim of this thesis is to implement our proposed models under the HJM framework in the multi-curve setting, including model calibration to rates that being considered as the the new "risk-free" rate, known as the Overnight Indexed Swap (OIS) rate.