Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model

DOI10.1007/PL00013533zbMath0972.60058OpenAlexW2020612371MaRDI QIDQ5936316

Oh Kang Kwon, Carl Chiarella

Publication date: 11 July 2001

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/pl00013533

zbMATH Keywords

term structure of interest ratesbond priceHeath-Jarrow-Morton modelMarkovian transformations

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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