Stochastic volatility Gaussian Heath-Jarrow-Morton models

DOI10.1080/1350486042000231902zbMath1108.91327OpenAlexW2045477879MaRDI QIDQ4672758

Stoyan Valchev

Publication date: 3 May 2005

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486042000231902

zbMATH Keywords

stochastic volatilityterm structure of interest ratescontinuous time Markov chainspiecewise-deterministic Markov processes

Mathematics Subject Classification ID

Related Items (4)

An extended Heath-Jarrow-Morton risk-neutral drift ⋮ A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models ⋮ Pricing and hedging defaultable participating contracts with regime switching and jump risk ⋮ Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion

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• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Bond pricing in a hidden Markov model of the short rate
• A simple regime switching term structure model

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