Modeling the volatility of the Heath–Jarrow–Morton model: a multifactor GARCH analysis
✍ Scribed by Anjun Zhou
- Book ID
- 117628129
- Publisher
- Elsevier Science
- Year
- 2002
- Tongue
- English
- Weight
- 152 KB
- Volume
- 9
- Category
- Article
- ISSN
- 0927-5398
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## Abstract We propose a new derivation of the Heath–Jarrow–Morton risk‐neutral drift restriction that takes into account nonzero instantaneous correlations between factors. The result allows avoiding the orthogonalization of factors and provides an approach by which interest rate derivatives can b
## Abstract This article uses the algorithm developed by Ritchken and Sankarasubramanian (1995) to make comparisons among the Heath—Jarrow—Morton (HJM) models (Heath, Jarrow, & Morton, 1992) with different volatility structures in pricing the Eurodollar futures options. We show that the differences