메뉴 건너뛰기




Volumn 8, Issue 1, 2001, Pages 1-22

Classes of interest rate models under the HJM framework

Author keywords

Forward rate volatility functions; Heath Jarrow Morton model; Interest rate models

Indexed keywords


EID: 0008395839     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1011468322967     Document Type: Article
Times cited : (20)

References (14)
  • 1
    • 0039548890 scopus 로고    scopus 로고
    • Transformation of Heath-Jarrow-Morton models to Markovian systems
    • Bhar, R. and Chiarella, C. (1997) Transformation of Heath-Jarrow-Morton models to Markovian systems, European Journal of Finance 3, 1-26.
    • (1997) European Journal of Finance , vol.3 , pp. 1-26
    • Bhar, R.1    Chiarella, C.2
  • 2
    • 0038801066 scopus 로고    scopus 로고
    • Interest rate theory
    • W. Runggaldier (ed.), Springer Verlag Lecture Notes in Mathematics
    • Björk, T. (1996) Interest rate theory. In W. Runggaldier (ed.), Financial Mathematics: Bressanone 1996, Springer Verlag Lecture Notes in Mathematics, 1656, 53-122.
    • (1996) Financial Mathematics: Bressanone 1996 , vol.1656 , pp. 53-122
    • Björk, T.1
  • 3
    • 0001877032 scopus 로고
    • Bonds and option pricing when short rates are lognormal
    • Black, F. and Karasinski, P. (1991) Bonds and option pricing when short rates are lognormal, Financial Analysts Journal, 52-59.
    • (1991) Financial Analysts Journal , pp. 52-59
    • Black, F.1    Karasinski, P.2
  • 4
    • 84986758738 scopus 로고
    • When is the short rate Markovian?
    • Carverhill, A. (1994) When is the short rate Markovian? Mathematical Finance 4(4), 305-312.
    • (1994) Mathematical Finance , vol.4 , Issue.4 , pp. 305-312
    • Carverhill, A.1
  • 5
    • 52649173707 scopus 로고    scopus 로고
    • A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility
    • School of Finance and Economics, University of Technology, Sydney
    • Chiarella, C. and Kwon, O. (1998) A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility, Working Paper No. 34, School of Finance and Economics, University of Technology, Sydney.
    • (1998) Working Paper No. 34
    • Chiarella, C.1    Kwon, O.2
  • 6
    • 52549128751 scopus 로고    scopus 로고
    • Square Root Affine Transformations of the Heath-Jarrow-Morton Term Structure Model and Partial Differential Equations
    • School of Finance and Economics, University of Technology, Sydney
    • Chiarella, C. and Kwon, O. (2001) Square Root Affine Transformations of the Heath-Jarrow-Morton Term Structure Model and Partial Differential Equations, Working Paper 52, School of Finance and Economics, University of Technology, Sydney.
    • (2001) Working Paper 52
    • Chiarella, C.1    Kwon, O.2
  • 7
    • 0030305091 scopus 로고    scopus 로고
    • A yield factor model of interest rates
    • Duffie, D. and Kan, R. (1996) A yield factor model of interest rates, Mathematical Finance 6(4), 379-406.
    • (1996) Mathematical Finance , vol.6 , Issue.4 , pp. 379-406
    • Duffie, D.1    Kan, R.2
  • 8
    • 0002674207 scopus 로고
    • Bond pricing and the term structure of interest rates: A new methodology for contingent claim valuation
    • Heath, D., Jarrow, R., and Morton, A. (1992) Bond pricing and the term structure of interest rates: A new methodology for contingent claim valuation, Econometrica 60(1), 77-105.
    • (1992) Econometrica , vol.60 , Issue.1 , pp. 77-105
    • Heath, D.1    Jarrow, R.2    Morton, A.3
  • 9
    • 0002177194 scopus 로고
    • Numerical procedures for implementing term structure models II: Two-factor models
    • Hull, J. and White, A. (1994) Numerical procedures for implementing term structure models II: Two-factor models, Journal of Derivatives Winter, 37-48.
    • (1994) Journal of Derivatives , vol.WINTER , pp. 37-48
    • Hull, J.1    White, A.2
  • 10
    • 0032369665 scopus 로고    scopus 로고
    • A Markovian framework in multi-factor Heath-Jarrow-Morton models
    • Inui, K. and Kijima, M. (1998) A Markovian framework in multi-factor Heath-Jarrow-Morton models, Journal of Financial and Quantitative Analysis 33(3), 423-440.
    • (1998) Journal of Financial and Quantitative Analysis , vol.33 , Issue.3 , pp. 423-440
    • Inui, K.1    Kijima, M.2
  • 11
    • 0003243365 scopus 로고    scopus 로고
    • Martingale Methods in Financial Modelling, 1st edn
    • Springer-Verlag, New York
    • Musiela, M. and Rutkowski, M. (1997) Martingale Methods in Financial Modelling, 1st edn, Springer-Verlag, New York, Applications of Mathematics 30.
    • (1997) Applications of Mathematics , vol.30
    • Musiela, M.1    Rutkowski, M.2
  • 12
    • 80955156317 scopus 로고
    • Volatility structures of forward rates and the dynamics of the term structure
    • Ritchken, P. and Sankarasubramanian, E. (1995) Volatility structures of forward rates and the dynamics of the term structure, Mathematical Finance 5(1), 55-72.
    • (1995) Mathematical Finance , vol.5 , Issue.1 , pp. 55-72
    • Ritchken, P.1    Sankarasubramanian, E.2
  • 13
    • 52549116203 scopus 로고    scopus 로고
    • Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
    • Rutkowski, M. (1996) Valuation and hedging of contingent claims in the HJM model with deterministic volatilities, Applied Mathematical Finance 3, 237-267.
    • (1996) Applied Mathematical Finance , vol.3 , pp. 237-267
    • Rutkowski, M.1
  • 14
    • 0347078538 scopus 로고
    • An equilibrium characterisation of the term structure
    • Vasicek, O. (1977) An equilibrium characterisation of the term structure, Journal of Financial Economics, 5, 177-188.
    • (1977) Journal of Financial Economics , vol.5 , pp. 177-188
    • Vasicek, O.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.