Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
From MaRDI portal
Publication:2189908
DOI10.1016/j.ejor.2020.04.015zbMath1443.91310OpenAlexW3017048469MaRDI QIDQ2189908
Xiaoxia Ye, Fan Yu, Hai-Tao Li
Publication date: 17 June 2020
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2020.04.015
financeinterest rate derivativesfinite dimensional realizationsHJMGaussian dynamic term structure models
Cites Work
- The affine arbitrage-free class of Nelson-Siegel term structure models
- On the construction of finite dimensional realizations for nonlinear forward rate models
- Finite dimensional affine realisations of HJM models in terms of forward rates and yields
- An analytically tractable interest rate model with humped volatility
- Minimal state-space realization in linear system theory: An overview
- Minimal realizations in interest rate models
- Interest rate term structure modelling
- Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting
- On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
- Impulse Control of Interest Rates
- ON EMBEDDING A DISCRETE-PARAMETER ARMA MODEL IN A CONTINUOUS-PARAMETER ARMA MODEL
- 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
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
- WHEN IS THE SHORT RATE MARKOVIAN?
- Maximum Likelihood Estimation of a Structured Covariance Matrix With a Condition Number Constraint
- An equilibrium characterization of the term structure
This page was built for publication: Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
