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The Heath-Jarrow-Morton Framework

In: Quantitative Analysis, Derivatives Modeling, And Trading Strategies In the Presence of Counterparty Credit Risk for the Fixed-Income Market

Author

Listed:
  • YI TANG

    (Goldman, Sachs & Co., Inc., USA)

  • BIN LI

    (Westport Financial, LLC, USA)

Abstract

The following sections are included:The Heath-Jarrow-Morton ModelThe Ritchken-Sankarasubramanian ModelThe Inui-Kijima ModelOverview of Numerical Implementations of the RS and the IK ModelRecombining Trinomial Tree TechniqueAdaptive Recombining Trinomial Tree TechniqueOverview of Applications of the Adaptive Trinomial Tree Technique to the RS Model and the IK ModelAppendixClosed-form Solutions for the RS ModelClosed-form Solutions for the IK Model

Suggested Citation

  • Yi Tang & Bin Li, 2007. "The Heath-Jarrow-Morton Framework," World Scientific Book Chapters, in: Quantitative Analysis, Derivatives Modeling, And Trading Strategies In the Presence of Counterparty Credit Risk for the Fixed-Income Market, chapter 6, pages 218-248, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812706652_0006
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