The Heath, Jarrow, Morton Model
✍ Scribed by Oldrich Alfons Vasicek
- Book ID
- 111056389
- Publisher
- John Wiley and Sons
- Year
- 2007
- Tongue
- English
- Weight
- 68 KB
- Volume
- 36
- Category
- Article
- ISSN
- 0391-5026
No coin nor oath required. For personal study only.
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## 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
We employ the term 'Poisson-Gaussian' here to denote the discrete time analog to continuous time jump-diffusion processes.
## 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