Markovian spot rate dynamics with stochastic volatility structures

DOI10.1080/13504869700000002zbMath1466.91322OpenAlexW2079801252MaRDI QIDQ4994411

Ah-Boon Sim, David C. Thurston, Kelly T. Au

Publication date: 18 June 2021

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

Full work available at URL: https://doi.org/10.1080/13504869700000002

zbMATH Keywords

stochastic volatilitybond pricingMarkovianheathJarrow and Morton

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Cites Work

• 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
• WHEN IS THE SHORT RATE MARKOVIAN?
• An equilibrium characterization of the term structure
• Unnamed Item

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