A Multifactor Gauss Markov Implementation Of Heath, Jarrow, And Morton
A Multifactor Gauss Markov Implementation Of Heath, Jarrow, And Morton
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Heath、Jarrow 和 Morton 的多因素高斯马尔可夫实现
DOI：
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发表时间：
1994
期刊：
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通讯作者：
M. Musiela
中科院分区：
文献类型：
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作者：
A. Brace;M. Musiela
在Heath-Jarrow-Morton框架下，利用无穷维随机方程理论，导出了一个有用的多因子Gauss-Markov模型，用于描述整个收益率曲线的运动。掉期是有价格的。它们通过消除互换和套期工具的半鞅表示之间的随机项来进行套期保值。分析了套期保值的有效性。该模型适用于澳大利亚的交换/帽带。在20 MHz笔记本电脑上的计算时间是可以接受的。版权所有1994年布莱克威尔出版社。
Working within the Heath-Jarrow-Morton framework and using the theory of stochastic equations in infinite dimensions, a useful multifactor Gauss-Markov model for the movement of the whole of the yield curve is derived. Swaptions are priced. They are hedged by eliminating random terms between the semimartingale representations of the swaption and hedging instruments. Hedging efficiency is analyzed. the model is fitted to the swap/cap strips in Australia. Computation times on a 20-MHz laptop computer are acceptable. Copyright 1994 Blackwell Publishers.