On the calibration of a Gaussian Heath–Jarrow–Morton model using consistent forward rate curves

DOI10.1080/14697680903493565zbMath1217.91180OpenAlexW2144419527MaRDI QIDQ3005811

Juan M. Nave, Ll. Navarro, Antonio Falcó

Publication date: 9 June 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903493565

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Interest rate option pricing with volatility humps
• An analytically tractable interest rate model with humped volatility
• Interest Rate Dynamics and Consistent Forward Rate Curves
• A Note on the Nelson-Siegel Family
• On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing Interest-Rate-Derivative Securities
• Arbitrage Theory in Continuous Time

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