Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

DOI10.2307/2951677zbMath0751.90009OpenAlexW2170444200MaRDI QIDQ4006256

Andrew J. Morton, David C. Heath, Robert A. Jarrow

Publication date: 26 September 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/1813/8783

zbMATH Keywords

term structure of interest ratescontingent claimsequivalent martingale measure technique

Mathematics Subject Classification ID

Related Items (only showing first 100 items - show all)

Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations ⋮ Affine realizations with affine state processes for stochastic partial differential equations ⋮ A general HJM framework for multiple yield curve modelling ⋮ Fractional term structure models: No-arbitrage and consistency ⋮ A cyclical square-root model for the term structure of interest rates ⋮ Alternative defaultable term structure models ⋮ On deposit volumes and the valuation of non-maturing liabilities ⋮ A direct LU solver for pricing American bond options under Hull-White model ⋮ Continuous time one-dimensional asset-pricing models with analytic price-dividend functions ⋮ A noisy principal component analysis for forward rate curves ⋮ Partial splitting of longevity and financial risks: the longevity nominal choosing swaptions ⋮ A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch ⋮ On the control of the difference between two Brownian motions: an application to energy markets modeling ⋮ Continuous-time approximation of short-term interest rates in generalized Ho-Lee framework ⋮ The multifactor nature of the volatility of futures markets ⋮ Consistent variance curve models ⋮ Valuation of commodity derivatives with an unobservable convenience yield ⋮ Valuing inflation-linked death benefits under a stochastic volatility framework ⋮ Polynomial algorithms for pricing path-dependent interest rate instruments ⋮ Stochastic dividend yields and derivatives pricing in complete markets ⋮ Kernel-correlated Lévy field driven forward rate and application to derivative pricing ⋮ On pricing kernels and finite-state variable Heath Jarrow Morton models ⋮ American stochastic volatility call option pricing: a lattice based approach ⋮ American bond option pricing in one-factor dynamic term structure models ⋮ A tractable yield-curve model that guarantees positive interest rates ⋮ Pricing the risks of default ⋮ Term structure modelling of defaultable bonds ⋮ Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models ⋮ Interest rate theory and geometry ⋮ Nonparametric tests of the Markov hypothesis in continuous-time models ⋮ A Bayesian approach to the empirical valuation of bond options ⋮ Optimal portfolio choice in the bond market ⋮ Market value of life insurance contracts under stochastic interest rates and default risk ⋮ Shape factors and cross-sectional risk ⋮ Some results on strong solutions of SDEs with applications to interest rate models ⋮ Pricing caps with HJM models: the benefits of humped volatility ⋮ Markov control models with unknown random state-action-dependent discount factors ⋮ Representation of infinite-dimensional forward price models in commodity markets ⋮ A heat kernel approach to interest rate models ⋮ Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model ⋮ Delta-gamma hedging of mortality and interest rate risk ⋮ A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework ⋮ Pricing American put option on zero-coupon bond in a jump-extended CIR model ⋮ Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility ⋮ Equity-linked pension schemes with guarantees ⋮ Optimal portfolios in commodity futures markets ⋮ Stochastic mortality models: an infinite-dimensional approach ⋮ Existence of Lévy term structure models ⋮ The impact of quantitative easing on the US term structure of interest rates ⋮ On the pricing of longevity-linked securities ⋮ Valuation of life insurance surrender and exchange options ⋮ Valuation of the interest rate guarantee embedded in defined contribution pension plans ⋮ American options and callable bonds under stochastic interest rates and endogenous bankruptcy ⋮ A linear algebraic method for pricing temporary life annuities and insurance policies ⋮ A stochastic control problem with delay arising in a pension fund model ⋮ New no-arbitrage conditions and the term structure of interest rate futures ⋮ Correlation and the pricing of risks ⋮ Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios ⋮ On the equivalence of a class of affine term structure models ⋮ Discount curve construction with tension splines ⋮ Prediction bias correction for dynamic term structure models ⋮ Existence of optimal consumption strategies in markets with longevity risk ⋮ Two-factor convertible bonds valuation using the method of characteristics/finite elements ⋮ A two-factor, stochastic programming model of Danish mortgage-backed securities ⋮ Using subspace algorithm cointegration analysis: simulation performance and application to the term structure ⋮ The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach ⋮ A binomial approximation for two-state Markovian HJM models ⋮ Foreign currency bubbles ⋮ Recovering a time-homogeneous stock price process from perpetual option prices ⋮ An integrated pricing model for defaultable loans and bonds ⋮ Extensions of the Ho and Lee interest-rate model to the multinomial case ⋮ A theory of bond portfolios ⋮ Forecasting the term structure of government bond yields ⋮ On a stochastic heat equation with first order fractional noises and applications to finance ⋮ Functional dynamic factor models with application to yield curve forecasting ⋮ Long-term yield in an affine HJM framework on \(S_{d}^{+}\) ⋮ Predictability and unpredictability in financial markets ⋮ A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics ⋮ On the valuation of interest rate products under multi-factor HJM term-structures ⋮ An implementation of the HJM model with application to Japanese interest futures ⋮ Quality options and hedging in Japanese government bond futures markets ⋮ A preference free partial differential equation for the term structure of interest rates ⋮ A note on the no arbitrage condition for international financial markets ⋮ Symmetric martingales and symmetric smiles ⋮ Exponential moments for HJM models with jumps ⋮ A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates ⋮ Analytical valuation of catastrophe equity options with negative exponential jumps ⋮ An extended Heath-Jarrow-Morton risk-neutral drift ⋮ A Monte Carlo approach for the American put under stochastic interest rates ⋮ Some system theoretic aspects of interest rate theory ⋮ A comparative evaluation of alternative models of the term structure of interest rates ⋮ Optimal spreading when spreading is optimal ⋮ On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications ⋮ Convexity bias in Eurodollar futures prices: A dimension-free HJM criterion ⋮ Strong consistency of maximum likelihood estimators for a discrete-time random field HJM-type interest rate model ⋮ Random field forward interest rate models, market price of risk and their statistics ⋮ Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate ⋮ An approximation of caplet implied volatilities in Gaussian models ⋮ A class of jump-diffusion bond pricing models within the HJM framework ⋮ Implied default probability and credit derivatives

This page was built for publication: Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation