Classes of interest rate models under the HJM framework (Q1415420)
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| Language | Label | Description | Also known as |
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| English | Classes of interest rate models under the HJM framework |
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Classes of interest rate models under the HJM framework (English)
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4 December 2003
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This paper considers Heath-Jarrow-Morton models of interest rate derivatives with exponentially decaying volatility. It shows that specialization of the volatility process produces models that closely resemble extended Vasicek, Hull-White and Cox-Ingersoll-Ross models.
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Heath-Jarrow-Morton
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Cox-Ingersoll-Ross
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Hull-White
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Black-Karasinski
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interest rate derivatives
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