Numerical integration of the Heath-Jarrow-Morton model of interest rates
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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We consider a generalization of the Heath Jarrow Morton model for the term structure of interest rates where the forward rate is driven by Paretian fluctuations. We derive a generalization of Itô’s lemma for the calculation of a differential of a Paretian stochastic variable and use it to derive a Stochastic Differential Equation for the discounted bond price. We show that it is not possible to...
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FALL 1999 This article develops a variance-reduction technique for pricing derivatives by simulation in highdimensional multifactor models. A premise of this work is that the greatest gains in simulation efficiency come from taking advantage of the structure of both the cash flows of a security and the model in which it is priced. For this to be feasible in practice requires automating the iden...
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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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ژورنال
عنوان ژورنال: IMA Journal of Numerical Analysis
سال: 2013
ISSN: 0272-4979,1464-3642
DOI: 10.1093/imanum/drs058