Generalized stochastic duration in Markovian Heath-Jarrow-Morton framework (Q1599851)
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scientific article
| Language | Label | Description | Also known as |
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| English | Generalized stochastic duration in Markovian Heath-Jarrow-Morton framework |
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Generalized stochastic duration in Markovian Heath-Jarrow-Morton framework (English)
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6 June 2002
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The paper studies the measures of the interest rate risk. The duration concept is generalized to stochastic duration in the Markovian HJM (Heath-Jarow-Morton) framework. Examples of behaviour of generalized duration in cases of factor model and two-dimensional Brownian incertainty of forward rates are considered. First- and second-order approximations (duration and convexity) are discussed.
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generalized stochastic duration
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interest rate term structure
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HJM model
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