On Gaussian HJM framework for Eurodollar Futures

DOI10.1002/ASMB.845zbMath1275.91136OpenAlexW1982807975MaRDI QIDQ2862428

Vladimir Pozdnyakov, Balaji Raman

Publication date: 15 November 2013

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.845

zbMATH Keywords

maximum likelihoodrealized volatilitytwo-stage estimationEurodollar futuresGaussian HJM

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• A two-stage realized volatility approach to estimation of diffusion processes with discrete data
• Martingale methods in financial modelling.
• Martingales and stochastic integrals in the theory of continuous trading
• Estimation for diffusion processes from discrete observation
• On the martingale framework for futures prices.
• Approximate discrete-time schemes for statistics of diffusion processes
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A Gaussian approach for continuous time models of the short-term interest rate
• Multi-factor term structure models
• The Distribution of Realized Exchange Rate Volatility
• An equilibrium characterization of the term structure
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

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