A FINITE-DIMENSIONAL HJM MODEL: HOW IMPORTANT IS ARBITRAGE-FREE EVOLUTION?

DOI10.1142/S0219024910006182zbMath1203.91302OpenAlexW2130224691MaRDI QIDQ3067162

Thomas Ribarits, Siobhán Devin, Bernard Hanzon

Publication date: 20 January 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910006182

zbMATH Keywords

projectionarbitrageNelson-Siegelfinite-dimensional representationHeath-Jarrow-Mortoninterest rate modeling

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• Forecasting the term structure of government bond yields
• On the construction of finite dimensional realizations for nonlinear forward rate models
• Interest Rate Dynamics and Consistent Forward Rate Curves
• A Note on the Nelson-Siegel Family
• On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A differential geometric approach to nonlinear filtering: the projection filter
• CONDITIONS FOR CONSISTENT EXPONENTIAL-POLYNOMIAL FORWARD RATE PROCESSES WITH MULTIPLE NONTRIVIAL FACTORS
• Arbitrage Theory in Continuous Time
• Exponential-polynomial families and the term structure of interest rates

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