This paper considers a class of term structure models that is a parameterisation of the Shirakawa (1991) extension of the Heath, Jarrow and Morton (1992) model to the case of jump-diffusions. We consider specific forward rate volatility structures that incorporate state dependent Wiener...

Path integral algorithms are developed for evaluating European-style Asian options within three new families of multi-parameter local volatility models. The forward price process is a martingale under an assumed risk-neutral measure and the transition probability densities for such models are...

This paper considers a class of term structure models that is a parameterisation of the Shirakawa (1991) extension of the Heath et al. (1992) model to the case of jump-diffusions. We consider specific forward rate volatility structures that incorporate state dependent Wiener volatility functions...