Forward interest rate curves in discrete time settings driven by random fields

DOI10.1016/j.camwa.2005.10.002zbMath1205.91163OpenAlexW1964623065MaRDI QIDQ2506998

József Gáll, Gyula Pap, Martien C. A. Van Zuijlen

Publication date: 10 October 2006

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2005.10.002

zbMATH Keywords

equivalent martingale measureforward interest ratemarket price of riskarbitrage opportunitiesAR sheetHeath-Jarrow-Morton (HJM) modelno-arbitrage property

Mathematics Subject Classification ID

Random fields (60G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (4)

Parameter estimation in diagonalizable bilinear stochastic parabolic equations ⋮ A note on arbitrage in term structure ⋮ Strong consistency of maximum likelihood estimators for a discrete-time random field HJM-type interest rate model ⋮ Random field forward interest rate models, market price of risk and their statistics

Cites Work

• Limiting connection between discrete and continuous time forward interest rate curve models
• Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
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