Classes of interest rate models under the HJM framework
- Publication Type:
- Journal Article
- Asia-Pacific Financial Markets, 2001, 8 (1), pp. 1 - 22
- Issue Date:
Copyright Clearance Process
- Recently Added
- In Progress
- Closed Access
This item is closed access and not available.
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.
Please use this identifier to cite or link to this item: