Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model

DOI10.1007/PL00013533zbMath0972.60058MaRDI QIDQ5936316

Oh Kang Kwon, Carl Chiarella

Publication date: 11 July 2001

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/pl00013533

zbMATH Keywords

term structure of interest rates; bond price; Heath-Jarrow-Morton model; Markovian transformations

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

60H30: Applications of stochastic analysis (to PDEs, etc.)

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

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