Markovian term structure models in discrete time (Q1872398)
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: Markovian term structure models in discrete time |
scientific article; zbMATH DE number 1906186
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Markovian term structure models in discrete time |
scientific article; zbMATH DE number 1906186 |
Statements
Markovian term structure models in discrete time (English)
0 references
6 May 2003
0 references
Markovian term structure models in discrete time and with continuous state space are studied. More precisely, there are discussed the structural properties of such models if one has the Markov property for a part of the forward curve. The authors investigate two cases where these parts are either a true subset of the forward curve, including the short rate, or the entire forward curve. A version of the Heath, Jarrow and Morton drift condition is obtained. Under a Gaussian assumption a Heath-Jarrow-Morton-Musiela type equation is derived.
0 references
Markov chain
0 references
forward curve model
0 references
Gaussian term structure
0 references
0 references
