A class of jump-diffusion bond pricing models within the HJM framework

DOI10.1007/S10690-005-6006-0zbMATH Open1137.91438OpenAlexW1993246438MaRDI QIDQ816765FDOQ816765

Christina Nikitopoulos Sklibosios, Carl Chiarella

Publication date: 23 February 2006

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-005-6006-0

Mathematics Subject Classification ID

Cites Work

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Cited In (11)

• Title not available (Why is that?)
• A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
• The multifactor nature of the volatility of futures markets
• What is the natural scale for a Lévy process in modelling term structure of interest rates?
• Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
• A Hybrid Model for Pricing and Hedging of Long-dated Bonds
• The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach
• A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework
• A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
• First Order Strong Approximations of Jump Diffusions
• Real-world jump-diffusion term structure models

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