Markovian spot rate dynamics with stochastic volatility structures

Recent studies of bond pricing dynamics and stochastic term structure models have focused on Markovian spot rate processes with deterministic volatilities. In this paper we provide and extension to allow for stochastic volatility functions and investigate conditions under which the dynamics of the spot rate is a Markov process.

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Year of publication:	1997
Authors:	Au, K. T. ; Sim, A. B. ; Thurston, D. C.
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 4.1997, 2, p. 101-108
Publisher:	Taylor & Francis Journals
Subject:	Markovian \| bond pricing \| Heath \| Jarrow \| Morton \| stochastic volatility

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009279102