Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes

DOI10.1111/J.1467-9965.1991.TB00020.XMaRDI QIDQ4345919zbMATH OpenOpenAlexFDO

Authors Hiroshi Shirakawa

Publication date 31 August 1997

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1991.tb00020.x

zbMATH Keywords

Heath-Jarrow-Morton modelinterest rate optionsPoisson-Gaussian process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A stochastic calculus model of continuous trading: Complete markets
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• An Intertemporal General Equilibrium Model of Asset Prices
• scientific article; zbMATH DE number 3793150 (Why is no real title available?)
• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Martingales and stochastic integrals in the theory of continuous trading
• Point processes and queues. Martingale dynamics

Cited in

(19)

• A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model
• The surprise element: Jumps in interest rates.
• What is the natural scale for a Lévy process in modelling term structure of interest rates?
• Rational term structure models with geometric Lévy martingales
• A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
• A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model
• Kernel-correlated Lévy field driven forward rate and application to derivative pricing
• Discrete-time bond and option pricing for jump-diffusion processes
• A heat kernel approach to interest rate models
• Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
• Markovian short rates in multidimensional term structure Lévy models
• Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
• Real-world jump-diffusion term structure models
• A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
• The equivalent martingale measure conditions in a general model for interest rates
• A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework
• A class of jump-diffusion bond pricing models within the HJM framework
• The multifactor nature of the volatility of futures markets
• Existence of Lévy term structure models

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