Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
复制标题
Heath-Jarrow-Morton 期限结构模型的正向利率相关马尔可夫变换
DOI：
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发表时间：
2001
影响因子：
1.7
通讯作者：
Oh Kang Kwon
中科院分区：
文献类型：
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作者：
C. Chiarella;Oh Kang Kwon
抽象的。在本文中，Heath-Jarrow-Morton [16]期限结构模型的一类前向利率相关马尔可夫变换是通过考虑作为线性常微分方程的解的波动性过程而获得的。这些变换概括了 Carverhill [8]、Ritchken 和 Sankarasubramanian [20]、Bhar 和 Chiarella [1]、Inui 和 Kijima [18] 获得的马尔可夫系统，也概括了其中获得的债券价格公式。
Abstract. In this paper, a class of forward rate dependent Markovian transformations of the Heath-Jarrow-Morton [16] term structure model are obtained by considering volatility processes that are solutions of linear ordinary differential equations. These transformations generalise the Markovian systems obtained by Carverhill [8], Ritchken and Sankarasubramanian [20], Bhar and Chiarella [1], and Inui and Kijima [18], and also generalise the bond price formulae obtained therein.