Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleration

DOI10.1016/j.jet.2006.12.003zbMath1132.91581OpenAlexW3122866594MaRDI QIDQ2469854

Gurupdesh S. Pandher

Publication date: 11 February 2008

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2006.12.003

zbMATH Keywords

volatility estimationHJMforward ratesarbitrage-free restriction

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Cites Work

• Unnamed Item
• LIBOR and swap market models and measures
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• Characterizing Gaussian Models of the Term Structure of Interest Rates
• The Market Model of Interest Rate Dynamics
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Option pricing: A simplified approach

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