Consistency problems for Heath-Jarrow-Morton interest rate models

DOI10.1007/b76888zbMath1008.91038OpenAlexW1509423932MaRDI QIDQ5931585

Damir Filipović

Publication date: 25 April 2001

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: http://link.springer.de/link/service/series/0304/tocs/t1760.htm

zbMATH Keywords

invariant manifoldscurve-fitting methodsHeath-Jarrow-Morton interest rate modelinfinite dimensional Brownian motion

Mathematics Subject Classification ID

Related Items (84)

Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations ⋮ Affine realizations with affine state processes for stochastic partial differential equations ⋮ The stochastic string model as a unifying theory of the term structure of interest rates ⋮ A characterization of hedging portfolios for interest rate contingent claims. ⋮ A general HJM framework for multiple yield curve modelling ⋮ Fractional term structure models: No-arbitrage and consistency ⋮ Real-World Forward Rate Dynamics With Affine Realizations ⋮ Cointegration in continuous time for factor models ⋮ Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations ⋮ On the Uniqueness of Martingales with Certain Prescribed Marginals ⋮ A noisy principal component analysis for forward rate curves ⋮ Consistent variance curve models ⋮ Long-term factorization in Heath-Jarrow-Morton models ⋮ Term Structure Models with Parallel and Proportional Shifts ⋮ Affine pure-jump processes on positive Hilbert-Schmidt operators ⋮ Consistency Problems for Jump‐diffusion Models ⋮ Integro-PDE in Hilbert spaces: existence of viscosity solutions ⋮ Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach ⋮ Yield Curve Smoothing and Residual Variance of Fixed Income Positions ⋮ Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting ⋮ Generalized solutions of differential-operator equations with singular white noise ⋮ On exterior differential systems involving differentials of Hölder functions ⋮ Kernel-correlated Lévy field driven forward rate and application to derivative pricing ⋮ Independent increment processes: a multilinearity preserving property ⋮ Kernel-based collocation methods for Heath–Jarrow–Morton models with Musiela parametrization ⋮ Interest rate theory and geometry ⋮ Some results on strong solutions of SDEs with applications to interest rate models ⋮ An infinite‐dimensional affine stochastic volatility model ⋮ Representation of infinite-dimensional forward price models in commodity markets ⋮ Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility ⋮ Discount models ⋮ Neural networks in Fréchet spaces ⋮ TERM STRUCTURE OF VANILLA OPTIONS ⋮ The geometry of differential constraints for a class of evolution PDEs ⋮ Pricing options on flow forwards by neural networks in a Hilbert space ⋮ SPDE bridges with observation noise and their spatial approximation ⋮ Designing universal causal deep learning models: The geometric (Hyper)transformer ⋮ FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES ⋮ The Itō integral with respect to an infinite dimensional Lévy process: a series approach ⋮ Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models ⋮ Foundations of the theory of semilinear stochastic partial differential equations ⋮ Affine processes and applications in finance ⋮ Wong–Zakai approximations with convergence rate for stochastic partial differential equations ⋮ Optimal portfolios in commodity futures markets ⋮ Stochastic mortality models: an infinite-dimensional approach ⋮ Existence of Lévy term structure models ⋮ CDO TERM STRUCTURE MODELLING WITH LÉVY PROCESSES AND THE RELATION TO MARKET MODELS ⋮ A stochastic control problem with delay arising in a pension fund model ⋮ Duration, factor sensitivities, and interest rate Greeks ⋮ Weak convergence rates for stochastic evolution equations and applications to nonlinear stochastic wave, HJMM, stochastic Schrödinger and linearized stochastic Korteweg-de Vries equations ⋮ A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS ⋮ Entropy and information in the interest rate term structure ⋮ Sensitivity analysis in the infinite dimensional Heston model ⋮ Tools for Malliavin calculus in UMD Banach spaces ⋮ CONDITIONS FOR CONSISTENT EXPONENTIAL-POLYNOMIAL FORWARD RATE PROCESSES WITH MULTIPLE NONTRIVIAL FACTORS ⋮ LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE ⋮ A filtered no arbitrage model for term structures from noisy data ⋮ A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets ⋮ A theory of stochastic integration for bond markets ⋮ Heath-Jarrow-Morton-Musiela equation with Lévy perturbation ⋮ Arbitrage-free market models for option prices: the multi-strike case ⋮ Local volatility dynamic models ⋮ Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case ⋮ ON FINITE DIMENSIONAL REALIZATIONS OF TWO-COUNTRY INTEREST RATE MODELS ⋮ Infinite-dimensional polynomial processes ⋮ SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM ⋮ The Heston stochastic volatility model in Hilbert space ⋮ On a class of stochastic partial differential equations with multiple invariant measures ⋮ Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations ⋮ Stochastic Cauchy Problem in Hilbert Spaces: Models, Examples, Solutions ⋮ Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model ⋮ Stability of solutions of stochastic functional-differential equations with locally Lipschitz coefficients in Hilbert spaces ⋮ Markovian lifts of positive semidefinite affine Volterra-type processes ⋮ A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES ⋮ AN INFINITE FACTOR MODEL FOR CREDIT RISK ⋮ DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE ⋮ Compact embeddings for spaces of forward rate curves ⋮ A weak law of large numbers for realised covariation in a Hilbert space setting ⋮ ARBITRAGE-FREE INTERPOLATION OF THE SWAP CURVE ⋮ CONSISTENT PARALLEL AND PROPORTIONAL SHIFTS IN THE TERM STRUCTURE OF FUTURES PRICES ⋮ Hypoellipticity in infinite dimensions and an application in interest rate theory ⋮ Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models ⋮ On the positivity of local mild solutions to stochastic evolution equations ⋮ Existence of invariant manifolds for stochastic equations in infinite dimension

This page was built for publication: Consistency problems for Heath-Jarrow-Morton interest rate models