A class of jump-diffusion bond pricing models within the HJM framework

DOI10.1007/s10690-005-6006-0zbMath1137.91438OpenAlexW1993246438MaRDI QIDQ816765

Christina Nikitopoulos Sklibosios, Carl Chiarella

Publication date: 23 February 2006

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-005-6006-0

Mathematics Subject Classification ID

Related Items (8)

A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES ⋮ The multifactor nature of the volatility of futures markets ⋮ A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework ⋮ What is the natural scale for a Lévy process in modelling term structure of interest rates? ⋮ Real-world jump-diffusion term structure models ⋮ A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps ⋮ Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion ⋮ First Order Strong Approximations of Jump Diffusions

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