Volatility structures of forward rates and the dynamics of the term structure: a multifactor case

DOI10.1007/BF02830036zbMath0947.91075OpenAlexW2061887720MaRDI QIDQ4254786

Guilan Wang

Publication date: 6 October 1999

Published in: Wuhan University Journal of Natural Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02830036

zbMATH Keywords

HJM modelsterm structure dynamicsMarkovian models of the term structurevolatility of forward rates

Mathematics Subject Classification ID

Economic growth models (91B62) Markov and semi-Markov decision processes (90C40)

Cites Work

• A Theory of the Term Structure of Interest Rates
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

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