Markov-functional interest rate models
Author
Abstract
Suggested Citation
Note: received: June 1999; final version received: August 1999
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
- P. Balland & L. P. Hughston, 2000. "Markov Market Model Consistent With Cap Smile," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 161-181.
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005.
"A Theory Of The Term Structure Of Interest Rates,"
World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164,
World Scientific Publishing Co. Pte. Ltd..
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- 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..
- Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
- Miltersen, Kristian R & Sandmann, Klaus & Sondermann, Dieter, 1997. "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Journal of Finance, American Finance Association, vol. 52(1), pages 409-430, March.
- Constantinides, George M, 1992. "A Theory of the Nominal Term Structure of Interest Rates," The Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 531-552.
- 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.
- J.E. Kennedy & P.J. Hunt, 1998. "Implied interest rate pricing models," Finance and Stochastics, Springer, vol. 2(3), pages 275-293.
- Peter Ritchken & L. Sankarasubramanian, 1995. "Volatility Structures Of Forward Rates And The Dynamics Of The Term Structure1," Mathematical Finance, Wiley Blackwell, vol. 5(1), pages 55-72, January.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- N. Moreni & A. Pallavicini, 2014.
"Parsimonious HJM modelling for multiple yield curve dynamics,"
Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 199-210, February.
- Nicola Moreni & Andrea Pallavicini, 2010. "Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics," Papers 1011.0828, arXiv.org.
- Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees, 2007. "A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes," MPRA Paper 1952, University Library of Munich, Germany.
- Y. Wang & H. Yin & L. Qi, 2004. "No-Arbitrage Interpolation of the Option Price Function and Its Reformulation," Journal of Optimization Theory and Applications, Springer, vol. 120(3), pages 627-649, March.
- Jirô Akahori & Andrea Macrina, 2022.
"Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes,"
World Scientific Book Chapters, in: Dorje Brody & Lane Hughston & Andrea Macrina (ed.), Financial Informatics An Information-Based Approach to Asset Pricing, chapter 9, pages 179-193,
World Scientific Publishing Co. Pte. Ltd..
- Jirô Akahori & Andrea Macrina, 2012. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 1, pages 1-15, World Scientific Publishing Co. Pte. Ltd..
- Jirô Akahori & Andrea Macrina, 2012. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(01), pages 1-15.
- Jiro Akahori & Andrea Macrina, 2010. "Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes," Papers 1012.1878, arXiv.org.
- Dan Pirjol, 2013. "Explosive Behavior In A Log-Normal Interest Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-23.
- Dan Pirjol, 2016. "Eurodollar futures pricing in log-normal interest rate models in discrete time," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(6), pages 445-464, November.
- Hans-Peter Bermin & Gareth Williams, 2017. "On Cash Settled Irr-Swaptions And Markov Functional Modeling," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-20, March.
- Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, 2005. "Fast drift approximated pricing in the BGM model," Finance 0502005, University Library of Munich, Germany.
- Albanese, Claudio, 2007. "Callable Swaps, Snowballs And Videogames," MPRA Paper 5229, University Library of Munich, Germany, revised 01 Oct 2007.
- Raoul Pietersz & Antoon Pelsser, 2010.
"A comparison of single factor Markov-functional and multi factor market models,"
Review of Derivatives Research, Springer, vol. 13(3), pages 245-272, October.
- Pietersz, R. & Pelsser, A.A.J., 2005. "A Comparison of Single Factor Markov-Functional and Multi Factor Market Models," ERIM Report Series Research in Management ERS-2005-008-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Raoul Pietersz & Antoon Pelsser, 2005. "A Comparison of Single Factor Markov-functional and Multi Factor Market Models," Finance 0502008, University Library of Munich, Germany.
- Jiro Akahori & Yuji Hishida & Josef Teichmann & Takahiro Tsuchiya, 2009. "A Heat Kernel Approach to Interest Rate Models," Papers 0910.5033, arXiv.org.
- Mamon, Rogemar S., 2002. "A time-varying Markov chain model of term structure," Statistics & Probability Letters, Elsevier, vol. 60(3), pages 309-312, December.
- Simon H. Babbs, 2002. "Conditional Gaussian models of the term structure of interest rates," Finance and Stochastics, Springer, vol. 6(3), pages 333-353.
- Antonis Papapantoleon, 2010. "Old and new approaches to LIBOR modeling," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(3), pages 257-275, August.
- Antonis Papapantoleon, 2009. "Old and new approaches to LIBOR modeling," Papers 0910.4941, arXiv.org, revised Apr 2010.
- Xiao Lin, 2016. "The Zero-Coupon Rate Model for Derivatives Pricing," Papers 1606.01343, arXiv.org, revised Feb 2022.
- Junwu Gan, 2014. "An almost Markovian LIBOR market model calibrated to caps and swaptions," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1937-1959, November.
- Dan Pirjol, 2010. "Phase transition in a log-normal Markov functional model," Papers 1007.0691, arXiv.org, revised Jan 2011.
- Yuta Inoue & Takahiro Tsuchiya, 2011. "Defaultable Bonds via HKA," Papers 1103.4541, arXiv.org.
- Giuseppe Arbia & Michele Di Marcantonio, 2015. "Forecasting Interest Rates Using Geostatistical Techniques," Econometrics, MDPI, vol. 3(4), pages 1-28, November.
- Jaka Gogala & Joanne E. Kennedy, 2017. "CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-44, March.
- C. D. D. Neumann, 2007. "On the structure of Gaussian pricing models and Gaussian Markov functional models," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 487-496.
- Antonis Papapantoleon, 2010. "Old and new approaches to LIBOR modeling," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(s1), pages 257-275.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
- Frank De Jong & Joost Driessen & Antoon Pelsser, 2001. "Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis," Review of Finance, European Finance Association, vol. 5(3), pages 201-237.
- Dai, Qiang & Singleton, Kenneth J., 2003. "Fixed-income pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 20, pages 1207-1246, Elsevier.
- Yongwoong Lee & Kisung Yang, 2020. "Finite Difference Method for the Hull–White Partial Differential Equations," Mathematics, MDPI, vol. 8(10), pages 1-11, October.
- Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2005, January-A.
- R.C. Stapleton & Marti G. Subrahmanyam, 1999. "The Term Structure of Interest Rate-Futures Prices," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-045, New York University, Leonard N. Stern School of Business-.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
- Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
- Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
- Zhanyu Chen & Kai Zhang & Hongbiao Zhao, 2022. "A Skellam market model for loan prime rate options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 525-551, March.
- Robert J. Elliott & Tak Kuen Siu, 2016. "Pricing regime-switching risk in an HJM interest rate environment," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1791-1800, December.
- Raoul Pietersz & Antoon Pelsser, 2010.
"A comparison of single factor Markov-functional and multi factor market models,"
Review of Derivatives Research, Springer, vol. 13(3), pages 245-272, October.
- Pietersz, R. & Pelsser, A.A.J., 2005. "A Comparison of Single Factor Markov-Functional and Multi Factor Market Models," ERIM Report Series Research in Management ERS-2005-008-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Raoul Pietersz & Antoon Pelsser, 2005. "A Comparison of Single Factor Markov-functional and Multi Factor Market Models," Finance 0502008, University Library of Munich, Germany.
- Falini, Jury, 2010. "Pricing caps with HJM models: The benefits of humped volatility," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1358-1367, December.
- Ingo Beyna, 2013. "Interest Rate Derivatives," Lecture Notes in Economics and Mathematical Systems, Springer, edition 127, number 978-3-642-34925-6, October.
- Dariusz Gatarek & Juliusz Jabłecki, 2021. "Between Scylla and Charybdis: The Bermudan Swaptions Pricing Odyssey," Mathematics, MDPI, vol. 9(2), pages 1-32, January.
- I‐Doun Kuo & Kai‐Li Wang, 2009. "Implied deterministic volatility functions: An empirical test for Euribor options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 29(4), pages 319-347, April.
- Svenstrup, Mikkel, 2005. "On the suboptimality of single-factor exercise strategies for Bermudan swaptions," Journal of Financial Economics, Elsevier, vol. 78(3), pages 651-684, December.
- Lixin Wu, 2013. "Inflation-rate Derivatives: From Market Model to Foreign Currency Analogy," Papers 1302.0574, arXiv.org.
- Tunaru, Diana, 2017. "Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 119-129.
- Cairns, Andrew J.G. & Blake, David & Dowd, Kevin, 2006. "Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk," ASTIN Bulletin, Cambridge University Press, vol. 36(1), pages 79-120, May.
More about this item
Keywords
Yield curve modelling; derivatives pricing; Markov processes;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:4:y:2000:i:4:p:391-408. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.