An extended Heath-Jarrow-Morton risk-neutral drift

DOI10.1016/j.aml.2008.06.006zbMath1156.91403OpenAlexW3123593818MaRDI QIDQ1003883

Leonard Tchuindjo

Publication date: 4 March 2009

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2008.06.006

zbMATH Keywords

correlationHilbert spaceHJM modelrisk-neutral driftequivalent measure

Mathematics Subject Classification ID

Brownian motion (60J65)

Cites Work

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• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Classes of interest rate models under the HJM framework
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Stochastic volatility Gaussian Heath-Jarrow-Morton models

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