Finite dimensional affine realisations of HJM models in terms of forward rates and yields

DOI10.1023/A:1027325227773zbMath1037.60069MaRDI QIDQ1421716

Oh Kang Kwon, Carl Chiarella

Publication date: 3 February 2004

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

interest rate modelsMarkovian modelsforward ratesyieldsHeath-Jarrow-Morton

Mathematics Subject Classification ID

Related Items (15)

A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES ⋮ An explicitly solvable Heston model with stochastic interest rate ⋮ Shape factors and cross-sectional risk ⋮ Pricing caps with HJM models: the benefits of humped volatility ⋮ From bond yield to macroeconomic instability: a parsimonious affine model ⋮ Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective ⋮ Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility ⋮ Existence of Lévy term structure models ⋮ RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING ⋮ The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach ⋮ Long-term yield in an affine HJM framework on \(S_{d}^{+}\) ⋮ The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach ⋮ Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model ⋮ CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS ⋮ A class of jump-diffusion bond pricing models within the HJM framework

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