Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model

In this paper, a class of forward rate dependent Markovian transformations of the Heath-Jarrow-Morton [16] term structure model are obtained by considering volatility processes that are solutions of linear ordinary differential equations. These transformations generalise the Markovian systems obtained by Carverhill [8], Ritchken and Sankarasubramanian [20], Bhar and Chiarella [1], and Inui and Kijima [18], and also generalise the bond price formulae obtained therein.

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Year of publication:	2001-04-10
Authors:	Chiarella, Carl ; Kwon, Oh Kang
Published in:	Finance and Stochastics. - Springer. - Vol. 5.2001, 2, p. 237-257
Publisher:	Springer
Subject:	Heath-Jarrow-Morton model \| Markovian transformations \| term structure of interest rates \| bond price

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Extent:	application/pdf
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:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005390682