Classes of interest rate models under the HJM framework

Chiarella, C; Kwon, OK

Classes of interest rate models under the HJM framework

Chiarella, C Kwon, OK

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Publication Type:: Journal Article
Citation:: Asia-Pacific Financial Markets, 2001, 8 (1), pp. 1 - 22
Issue Date:: 2001-01-01

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Field	Value	Language
dc.contributor.author	Chiarella, C	en_US
dc.contributor.author	Kwon, OK	en_US
dc.date.issued	2001-01-01	en_US
dc.identifier.citation	Asia-Pacific Financial Markets, 2001, 8 (1), pp. 1 - 22	en_US
dc.identifier.issn	1387-2834	en_US
dc.identifier.uri	http://hdl.handle.net/10453/5215
dc.description.abstract	Although the HJM term structure model is widely accepted as the most general, and perhaps the most consistent, framework under which to study interest rate derivatives, the earlier models of Vasicek, Cox-Ingersoll-Ross, Hull-White, and Black-Karasinski remain popular among both academics and practitioners. It is often stated that these models are special cases of the HJM framework, but the precise links have not been fully established in the literature. By beginning with certain forward rate volatility processes, it is possible to obtain classes of interest models under the HJM framework that closely resemble the traditional models listed above. Further, greater insight into the dynamics of the interest rate process emerges as a result of natural links being established between the model parameters and market observed variables. © 2001 Kluwer Academic Publishers.	en_US
dc.relation	http://purl.org/au-research/grants/arc/A00103864
dc.relation.ispartof	Asia-Pacific Financial Markets	en_US
dc.relation.isbasedon	10.1023/A:1011468322967	en_US
dc.subject.classification	Finance	en_US
dc.title	Classes of interest rate models under the HJM framework	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	8	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
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.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	8	en_US

Abstract:

Although the HJM term structure model is widely accepted as the most general, and perhaps the most consistent, framework under which to study interest rate derivatives, the earlier models of Vasicek, Cox-Ingersoll-Ross, Hull-White, and Black-Karasinski remain popular among both academics and practitioners. It is often stated that these models are special cases of the HJM framework, but the precise links have not been fully established in the literature. By beginning with certain forward rate volatility processes, it is possible to obtain classes of interest models under the HJM framework that closely resemble the traditional models listed above. Further, greater insight into the dynamics of the interest rate process emerges as a result of natural links being established between the model parameters and market observed variables. © 2001 Kluwer Academic Publishers.

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http://hdl.handle.net/10453/5215