Modeling the Volatility of the Heath-Jarrow-Morton Model: A Multi-factor GARCH Analysis
نویسندگان
چکیده
منابع مشابه
The Heath - Jarrow - Morton Framework
The Heath-Jarrow-Morton framework refers to a class of models that are derived by directly modeling the dynamics of instantaneous forward-rates. The central insight of this framework is to recognize that there is an explicit relationship between the drift and volatility parameters of the forward-rate dynamics in a no-arbitrage world. The familiar short-rate models can be derived in the HJM fram...
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This paper considers the Heath-Jarrow-Morton (HJM) model of the term structure of interest rates for a fairly general specification of forward rate volatility, including stochastic variables. Estimation of this volatility function is at the heart of the identification of the HJM model. Reduction of the model to state space form is discussed and use of the Kalman filter as an estimation techniqu...
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This paper considers a class of Heath-Jarrow-Morton term structure models with stochastic volatility. These models admit transformations to Markovian systems, and consequently lend themselves to well-established solution techniques for the bond and bond option prices. Solutions for certain special cases are obtained, and compared against their non-stochastic counterparts.
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2000
ISSN: 1556-5068
DOI: 10.2139/ssrn.244521