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

DOI10.1007/S10690-005-6006-0zbMATH1137.91438OpenAlexW1993246438MaRDI QIDQ816765FDOQ816765

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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• Point processes and queues. Martingale dynamics
• Pricing interest-rate-derivative securities
• The Term Structure of Simple Forward Rates with Jump Risk
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• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• WHEN IS THE SHORT RATE MARKOVIAN?

Cited in

(17)

• A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework
• Bond Pricing with Jumps and Monte Carlo Simulation
• On Monte Carlo Simulation for the HJM Model Based on Jump
• The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes
• What is the natural scale for a Lévy process in modelling term structure of interest rates?
• First Order Strong Approximations of Jump Diffusions
• Consistency Problems for Jump‐diffusion Models
• The Term Structure of Simple Forward Rates with Jump Risk
• A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
• scientific article; zbMATH DE number 5669952 (Why is no real title available?)
• The multifactor nature of the volatility of futures markets
• Real-world jump-diffusion term structure models
• Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
• A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
• Exact solutions for bond and option prices with systematic jump risk
• The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach
• A Hybrid Model for Pricing and Hedging of Long-dated Bonds

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