Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
نویسندگان
چکیده
منابع مشابه
A Maximum Likelihood Approach to Estimation of a Class of the Heath-jarrow-morton Model
Research on the Heath-Jarrow-Morton (1992) term structure models so far has focused on the class having time-deterministic instantaneous forward rate volatility. In this case the forward rate process is Markovian, even if the spot rate process is not. However, this Markovian feature can only be used under the historical measure, involving two unsatisfactory assumptions: one involving the market...
متن کاملThe 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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متن کاملOn a Heath-Jarrow-Morton approach for stock options
This paper aims at transferring the philosophy behind Heath-Jarrow-Morton to the modelling of call options with all strikes and maturities. Contrary to the approach by Carmona and Nadtochiy [8] and related to the recent contribution [10] by the same authors, the key parametrisation of our approach involves time-inhomogeneous Lévy processes instead of local volatility models. We provide necessar...
متن کاملEstimation of the Heath-jarrow-morton Model via the Kalman Filter: a Monte Carlo Analysis *
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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ژورنال
عنوان ژورنال: Journal of Financial Econometrics
سال: 2004
ISSN: 1479-8409,1479-8417
DOI: 10.1093/jjfinec/nbh010