HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES
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Publication:5427664
DOI10.1111/j.1467-9965.2007.00310.xzbMath1186.91225OpenAlexW2076154373MaRDI QIDQ5427664
Benedetto Piccoli, Claudia La Chioma
Publication date: 21 November 2007
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00310.x
Related Items (4)
The stochastic string model as a unifying theory of the term structure of interest rates ⋮ Shape factors and cross-sectional risk ⋮ Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model ⋮ Approximation and application of the Musiela stochastic PDE in forward rate models
Cites Work
- On the construction of finite dimensional realizations for nonlinear forward rate models
- Existence of invariant manifolds for stochastic equations in infinite dimension
- Minimal realizations in interest rate models
- Interest Rate Dynamics and Consistent Forward Rate Curves
- On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
- A Theory of the Term Structure of Interest Rates
- An Intertemporal General Equilibrium Model of Asset Prices
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- An equilibrium characterization of the term structure
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