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

DOI10.1007/S10690-005-6006-0MaRDI QIDQ816765zbMATH OpenOpenAlexFDO

Authors 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

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Cites work

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• Finite dimensional affine realisations of HJM models in terms of forward rates and yields
• Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
• Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
• Interest rate option pricing with volatility humps
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• On the existence of finite-dimensional realizations for nonlinear forward rate models.
• Point processes and queues. Martingale dynamics
• Pricing interest-rate-derivative securities
• The Term Structure of Simple Forward Rates with Jump Risk
• The estimation of the Heath-Jarrow-Morton model by use of Kalman filtering techniques
• The surprise element: Jumps in interest rates.
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• WHEN IS THE SHORT RATE MARKOVIAN?

Cited in

(17)

• scientific article; zbMATH DE number 5669952 (Why is no real title available?)
• The Term Structure of Simple Forward Rates with Jump Risk
• 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?
• Exact solutions for bond and option prices with systematic jump risk
• 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
• Bond Pricing with Jumps and Monte Carlo Simulation
• On Monte Carlo Simulation for the HJM Model Based on Jump
• A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework
• Consistency Problems for Jump‐diffusion Models
• A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
• The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes
• First Order Strong Approximations of Jump Diffusions
• Real-world jump-diffusion term structure models

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