Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
Year of publication: |
2001-04-10
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Authors: | Chiarella, Carl ; Kwon, Oh Kang |
Published in: |
Finance and Stochastics. - Springer. - Vol. 5.2001, 2, p. 237-257
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Publisher: |
Springer |
Subject: | Heath-Jarrow-Morton model | Markovian transformations | term structure of interest rates | bond price |
Extent: | application/pdf |
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Type of publication: | Article |
Notes: | received: April 1999; final version received: March 2000 |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility
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The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions
Driessen, Joost, (2000)
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Bond pricing in a hidden Markov model of the short rate
LandÊn, Camilla, (2000)
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Classes of interest rate models under the HJM framework
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Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
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State variables and the affine nature of Markovian HJM term structure models
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