Generalized stochastic duration in Markovian Heath-Jarrow-Morton framework (Q1599851)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Generalized stochastic duration in Markovian Heath-Jarrow-Morton framework |
scientific article; zbMATH DE number 1751426
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Generalized stochastic duration in Markovian Heath-Jarrow-Morton framework |
scientific article; zbMATH DE number 1751426 |
Statements
Generalized stochastic duration in Markovian Heath-Jarrow-Morton framework (English)
0 references
6 June 2002
0 references
The paper studies the measures of the interest rate risk. The duration concept is generalized to stochastic duration in the Markovian HJM (Heath-Jarow-Morton) framework. Examples of behaviour of generalized duration in cases of factor model and two-dimensional Brownian incertainty of forward rates are considered. First- and second-order approximations (duration and convexity) are discussed.
0 references
generalized stochastic duration
0 references
interest rate term structure
0 references
HJM model
0 references
