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Forward rate models with linear volatilities

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  • Michał Barski
  • Jerzy Zabczyk

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  • Michał Barski & Jerzy Zabczyk, 2012. "Forward rate models with linear volatilities," Finance and Stochastics, Springer, vol. 16(3), pages 537-560, July.
    • Handle: RePEc:spr:finsto:v:16:y:2012:i:3:p:537-560
    DOI: 10.1007/s00780-011-0163-y
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    References listed on IDEAS

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    1. Alan Brace & Dariusz G¸atarek & Marek Musiela, 1997. "The Market Model of Interest Rate Dynamics," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 127-155, April.
    2. Ernst Eberlein & Sebastian Raible, 1999. "Term Structure Models Driven by General Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 31-53, January.
    3. Jacek Jakubowski & Jerzy Zabczyk, 2007. "Exponential moments for HJM models with jumps," Finance and Stochastics, Springer, vol. 11(3), pages 429-445, July.
    4. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    5. Damir Filipović & Stefan Tappe, 2008. "Existence of Lévy term structure models," Finance and Stochastics, Springer, vol. 12(1), pages 83-115, January.
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    Citations

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    Cited by:

    1. Chiarolla, Maria B. & De Angelis, Tiziano, 2015. "Analytical pricing of American Put options on a Zero Coupon Bond in the Heath–Jarrow–Morton model," Stochastic Processes and their Applications, Elsevier, vol. 125(2), pages 678-707.
    2. Maria B. Chiarolla & Tiziano De Angelis, 2012. "Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model," Papers 1212.0781, arXiv.org, revised Mar 2014.

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    More about this item

    Keywords

    Bond market; HJM condition; Linear volatility; Random fields; 60G60; 60H20; 91B24; 91B70; G10; G12;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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