A finite-dimensional HJM model: How important is arbitrage-free evolution?

DOI10.1142/S0219024910006182MaRDI QIDQ3067162zbMATH OpenOpenAlexFDO

Authors Siobhán Devin, Thomas Ribarits, B. Hanzon

Publication date 20 January 2011

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024910006182

zbMATH Keywords

arbitragefinite-dimensional representationHeath-Jarrow-Mortoninterest rate modelingNelson-Siegelprojection

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; risk measures (91G70)

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Cites work

• A differential geometric approach to nonlinear filtering: the projection filter
• A note on the Nelson-Siegel family
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Arbitrage Theory in Continuous Time
• CONDITIONS FOR CONSISTENT EXPONENTIAL-POLYNOMIAL FORWARD RATE PROCESSES WITH MULTIPLE NONTRIVIAL FACTORS
• Exponential-polynomial families and the term structure of interest rates
• Forecasting the term structure of government bond yields
• Interest rate dynamics and consistent forward rate curves
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• On the construction of finite dimensional realizations for nonlinear forward rate models
• On the existence of finite-dimensional realizations for nonlinear forward rate models.

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