Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems

We consider a Heath-Jarrow-Morton models for the term structure of interest rates in which the forward rate volatility is a function of the instantaneous spot rate of interest, a set of dicrete forward rates and time to maturity of the bond. We show how the stochastic dynamics may be expressed as a system of Markovian stochastic differential equations. We obtain the partial differential equation which allows the pricing of contingent claims in this framework

MoreLess

Year of publication:	[2008]
Authors:	Bhar, Ramaprasad
Other Persons:	Chiarella, Carl (contributor)
Publisher:	[2008]: [S.l.] : SSRN

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (25 p)
Series:	U. of Technology, Sydney Finance and Economics Working Paper ; No. 76
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 2000 erstellt
Other identifiers:	10.2139/ssrn.880168 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012727236