Small-noise limit of the quasi-Gaussian log-normal HJM model
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- 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.
- 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.
- Dan Pirjol & Lingjiong Zhu, 2018. "Explosion in the quasi-Gaussian HJM model," Finance and Stochastics, Springer, vol. 22(3), pages 643-666, July.
- Nusret Cakici & Jintao Zhu, 2001. "Pricing Eurodollar Futures Options with the Heath—Jarrow—Morton Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(7), pages 655-680, July.
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.- Dan Pirjol & Lingjiong Zhu, 2019. "Explosion in the quasi-Gaussian HJM model," Papers 1908.07102, arXiv.org.
- Dan Pirjol & Lingjiong Zhu, 2018. "Explosion in the quasi-Gaussian HJM model," Finance and Stochastics, Springer, vol. 22(3), pages 643-666, July.
- Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013.
"Humps in the volatility structure of the crude oil futures market: New evidence,"
Energy Economics, Elsevier, vol. 40(C), pages 989-1000.
- Carl Chiarella & Boda Kang & Christina Nikitopoulos-Sklibosios & Thuy-Duong To, 2012. "Humps in the Volatility Structure of the Crude Oil Futures Market," Research Paper Series 308, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- Ram Bhar & Carl Chiarella, 1995. "The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques," Working Paper Series 54, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Srichander Ramaswamy, 1997. "Global asset allocation in fixed income markets," BIS Working Papers 46, Bank for International Settlements.
- R. Bhar & C. Chiarella, 1997.
"Transformation of Heath?Jarrow?Morton models to Markovian systems,"
The European Journal of Finance, Taylor & Francis Journals, vol. 3(1), pages 1-26, March.
- Ram Bhar & Carl Chiarella, 1995. "Transformation of Heath-Jarrow-Morton Models to Markovian Systems," Working Paper Series 53, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Chiarella, Carl & Clewlow, Les & Musti, Silvana, 2005. "A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models," European Journal of Operational Research, Elsevier, vol. 161(2), pages 325-336, March.
- Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2011, January-A.
- Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2010. "Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility," Research Paper Series 283, Quantitative Finance Research Centre, University of Technology, Sydney.
- Ramaprasad Bhar & Carl Chiarella, 1997.
"Interest rate futures: estimation of volatility parameters in an arbitrage-free framework,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(4), pages 181-199.
- Ram Bhar & Carl Chiarella, 1995. "Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework," Working Paper Series 55, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Carl Chiarella & Oh-Kang Kwon, 2001. "State Variables and the Affine Nature of Markovian HJM Term Structure Models," Research Paper Series 52, Quantitative Finance Research Centre, University of Technology, Sydney.
- Li, Haitao & Ye, Xiaoxia & Yu, Fan, 2020. "Unifying Gaussian dynamic term structure models from a Heath–Jarrow–Morton perspective," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1153-1167.
- Camilla Landén & Tomas Björk, 2002.
"On the construction of finite dimensional realizations for nonlinear forward rate models,"
Finance and Stochastics, Springer, vol. 6(3), pages 303-331.
- Björk, Tomas & Landen, Camilla, 2000. "On the construction of finite dimensional realizations for nonlinear forward rate models," SSE/EFI Working Paper Series in Economics and Finance 420, Stockholm School of Economics.
- Gibson, Rajna & Lhabitant, Francois-Serge & Talay, Denis, 2010. "Modeling the Term Structure of Interest Rates: A Review of the Literature," Foundations and Trends(R) in Finance, now publishers, vol. 5(1–2), pages 1-156, December.
- Gil-Bazo Javier & Rubio Gonzalo, 2004.
"A Nonparametric Dimension Test of the Term Structure,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(3), pages 1-28, September.
- Rubio, Gonzalo & Gil-Bazo, Javier, 2001. "A nonparametric dimension test of the term structure," DEE - Working Papers. Business Economics. WB wb012106, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Gil Bazo, Javier & Rubio Irigoyen, Gonzalo, 2002. "A Non-Parametric Dimension Test of the Term Structure," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
- Björk, Tomas & Landén, Camilla & Svensson, Lars, 2002. "Finite dimensional Markovian realizations for stochastic volatility forward rate models," SSE/EFI Working Paper Series in Economics and Finance 498, Stockholm School of Economics, revised 07 May 2002.
- Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2016. "The stochastic string model as a unifying theory of the term structure of interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 217-237.
- Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy‐Duong Tô, 2016.
"The Return–Volatility Relation in Commodity Futures Markets,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(2), pages 127-152, February.
- Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy-Duong To, 2013. "The Return-Volatility Relation in Commodity Futures Markets," Research Paper Series 336, Quantitative Finance Research Centre, University of Technology, Sydney.
Corrections
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:arx:papers:1908.07098. 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: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.