A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework

Chiarella, C; Nikitopoulos Sklibosios, C

A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework

Chiarella, C Nikitopoulos Sklibosios, C

Permalink

Publisher:: Springer Netherlands
Publication Type:: Journal Article
Citation:: Asia - Pacific Financial Markets, 2003, 10 (2-3), pp. 87 - 127
Issue Date:: 2003-01

Closed Access

	Filename	Description	Size
	2007004472OK.pdf		780.24 kB	Adobe PDF	View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Chiarella, C	en_US
dc.contributor.author	Nikitopoulos Sklibosios, C https://orcid.org/0000-0002-5879-3731	en_US
dc.date.issued	2003-01	en_US
dc.identifier.citation	Asia - Pacific Financial Markets, 2003, 10 (2-3), pp. 87 - 127	en_US
dc.identifier.issn	1387-2834	en_US
dc.identifier.uri	http://hdl.handle.net/10453/10265
dc.description.abstract	This paper considers a class of term structure models that is a parameterisation of the Shirakawa (1991) extension of the Heath et al. (1992) model to the case of jump-diffusions. We consider specific forward rate volatility structures that incorporate state dependent Wiener volatility functions and time dependent Poisson volatility functions. Within this framework, we discuss the Markovianisation issue, and obtain the corresponding affine term structure of interest rates. As a result we are able to obtain a broad tractable class of jump-diffusion term structure models. We relate our approach to the existing class of jump-diffusion term structure models whose starting point is a jump-diffusion process for the spot rate. In particular we obtain natural jump-diffusion versions of the Hull and White (1990, 1994) one-factor and two-factor models and the Ritchken and Sankarasubramanian (1995) model within the HJM framework. We also give some numerical simulations to gauge the effect of the jump-component on yield curves and the implications of various volatility specifications for the spot rate distribution.	en_US
dc.publisher	Springer Netherlands	en_US
dc.relation	http://purl.org/au-research/grants/arc/A00103854
dc.relation.ispartof	Asia - Pacific Financial Markets	en_US
dc.subject.classification	Finance	en_US
dc.title	A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework	en_US
dc.type	Journal Article
utslib.citation.volume	2-3	en_US
utslib.citation.volume	10	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	2-3	en_US
pubs.volume	10	en_US

Abstract:

This paper considers a class of term structure models that is a parameterisation of the Shirakawa (1991) extension of the Heath et al. (1992) model to the case of jump-diffusions. We consider specific forward rate volatility structures that incorporate state dependent Wiener volatility functions and time dependent Poisson volatility functions. Within this framework, we discuss the Markovianisation issue, and obtain the corresponding affine term structure of interest rates. As a result we are able to obtain a broad tractable class of jump-diffusion term structure models. We relate our approach to the existing class of jump-diffusion term structure models whose starting point is a jump-diffusion process for the spot rate. In particular we obtain natural jump-diffusion versions of the Hull and White (1990, 1994) one-factor and two-factor models and the Ritchken and Sankarasubramanian (1995) model within the HJM framework. We also give some numerical simulations to gauge the effect of the jump-component on yield curves and the implications of various volatility specifications for the spot rate distribution.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/10265