Forward Rate Dependent Markovian Transformation of the Heath-Jarrow-Morton Term Structure Model

Chiarella, C; Kwon, O

Forward Rate Dependent Markovian Transformation of the Heath-Jarrow-Morton Term Structure Model

Chiarella, C Kwon, O

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Publisher:: Springer-Verlag
Publication Type:: Journal Article
Citation:: Finance & Stochastics, 2001, 5 (2), pp. 237 - 257
Issue Date:: 2001-01

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Field	Value	Language
dc.contributor.author	Chiarella, C	en_US
dc.contributor.author	Kwon, O	en_US
dc.date.issued	2001-01	en_US
dc.identifier.citation	Finance & Stochastics, 2001, 5 (2), pp. 237 - 257	en_US
dc.identifier.issn	0949-2984	en_US
dc.identifier.uri	http://hdl.handle.net/10453/3442
dc.description.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.	en_US
dc.publisher	Springer-Verlag	en_US
dc.relation	http://purl.org/au-research/grants/arc/A00103864
dc.relation.ispartof	Finance & Stochastics	en_US
dc.subject.classification	Finance	en_US
dc.title	Forward Rate Dependent Markovian Transformation of the Heath-Jarrow-Morton Term Structure Model	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	5	en_US
utslib.for	150205 Investment and Risk Management	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	140199 Economic Theory not elsewhere classified	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	0104 Statistics	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
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	2	en_US
pubs.volume	5	en_US

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.

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http://hdl.handle.net/10453/3442