HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES

DOI10.1111/j.1467-9965.2007.00310.xzbMath1186.91225OpenAlexW2076154373MaRDI QIDQ5427664

Benedetto Piccoli, Claudia La Chioma

Publication date: 21 November 2007

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00310.x

zbMATH Keywords

consistencyHJM modelsinterest rate modelingfinite dimensional familyNS families

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (4)

The stochastic string model as a unifying theory of the term structure of interest rates ⋮ Shape factors and cross-sectional risk ⋮ Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model ⋮ Approximation and application of the Musiela stochastic PDE in forward rate models

Cites Work

• On the construction of finite dimensional realizations for nonlinear forward rate models
• Existence of invariant manifolds for stochastic equations in infinite dimension
• Minimal realizations in interest rate models
• Interest Rate Dynamics and Consistent Forward Rate Curves
• On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
• A Theory of the Term Structure of Interest Rates
• An Intertemporal General Equilibrium Model of Asset Prices
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure

This page was built for publication: HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES