Search Results - subject:"Heath–Jarrow–Morton framework"

Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation

Krippner, Leo - Department of Economics, Waikato Management School - 2003

curve term structure of interest rates Nelson and Siegel model Heath-Jarrow-Morton framework JEL Classification …

Persistent link: https://www.econbiz.de/10005634959

A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models

Krippner, Leo - In: Applied Mathematical Finance 13 (2006) 1, pp. 39-59

A popular class of yield curve models is based on the Nelson and Siegel approach of 'fitting' yield curve data with simple functions of maturity. However, such models cannot be consistent across time. This article addresses that deficiency by deriving an intertemporally consistent and...

Persistent link: https://www.econbiz.de/10005279069

The Random Yield Curve and Interest Rate Options

Chu, Meifang - EconWPA - 1997

model can be thought of as an infinite-factor Gaussian model in the Heath-Jarrow-Morton framework and can be implemented …

Persistent link: https://www.econbiz.de/10005413112