WHEN IS THE SHORT RATE MARKOVIAN?
From MaRDI portal
Publication:4372040
DOI10.1111/j.1467-9965.1994.tb00060.xzbMath0884.90017MaRDI QIDQ4372040
Publication date: 21 January 1998
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1994.tb00060.x
91B62: Economic growth models
Related Items
Valuation and hedging of contingent claims in the HJM model with deterministic volatilities, Interest rate futures: estimation of volatility parameters in an arbitrage-free framework, On the structure of Gaussian pricing models and Gaussian Markov functional models, ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES, ANALYTIC BACKWARD INDUCTION OF OPTION CASH FLOWS: A NEW APPLICATION PARADIGM FOR THE MARKOVIAN INTEREST RATE MODELS, Efficient Factor Models For Yield Curve Dynamics, A binomial approximation for two-state Markovian HJM models, Interest rate theory and geometry, Nonparametric tests of the Markov hypothesis in continuous-time models, Pricing caps with HJM models: the benefits of humped volatility, Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility, A class of jump-diffusion bond pricing models within the HJM framework, The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach, A preference free partial differential equation for the term structure of interest rates, On arbitrage and Markovian short rates in fractional bond markets, Interest rate options valuation under incomplete information, THE HEATH–JARROW–MORTON DURATION AND CONVEXITY: A GENERALIZED APPROACH, A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
Cites Work