Markov-functional interest rate models
From MaRDI portal
Publication:5926473
DOI10.1007/PL00013525zbMath1066.60045OpenAlexW3123653736MaRDI QIDQ5926473
Antoon Pelsser, Phil Hunt, Joanne Kennedy
Publication date: 1 March 2001
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/pl00013525
Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44)
Related Items (20)
HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES ⋮ Eurodollar futures pricing in log-normal interest rate models in discrete time ⋮ A heat kernel approach to interest rate models ⋮ ON CASH SETTLED IRR-SWAPTIONS AND MARKOV FUNCTIONAL MODELING ⋮ CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs ⋮ IMPLIED KERNEL MODELS ⋮ A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL ⋮ COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS ⋮ A hybrid Markov-Functional model with simultaneous calibration to the interest rate and FX smile ⋮ A comparison of single factor Markov-functional and multi factor market models ⋮ No-arbitrage interpolation of the option price function and its reformulation ⋮ On the structure of Gaussian pricing models and Gaussian Markov functional models ⋮ EXPLOSIVE BEHAVIOR IN A LOG-NORMAL INTEREST RATE MODEL ⋮ An almost Markovian LIBOR market model calibrated to caps and swaptions ⋮ THE AFFINE LIBOR MODELS ⋮ IMPLICATIONS FOR HEDGING OF THE CHOICE OF DRIVING PROCESS FOR ONE-FACTOR MARKOV-FUNCTIONAL MODELS ⋮ Phase transition in a log-normal Markov functional model ⋮ Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme ⋮ Parsimonious HJM modelling for multiple yield curve dynamics ⋮ A time-varying Markov chain model of term structure.
This page was built for publication: Markov-functional interest rate models
