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A Class Of HeathJarrowMorton Term Structure Models With Stochastic Volatility
, 1998
"... . This paper considers a class of HeathJarrowMorton term structure models with stochastic volatility. These models admit transformations to Markovian systems, and consequently lend themselves to wellestablished solution techniques for the bond and bond option prices. Solutions for certain special ..."
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Cited by 2 (2 self)
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. This paper considers a class of HeathJarrowMorton term structure models with stochastic volatility. These models admit transformations to Markovian systems, and consequently lend themselves to wellestablished solution techniques for the bond and bond option prices. Solutions for certain
A Maximum Likelihood Approach To Estimation Of HeathJarrowMorton Models
"... Research on the HeathJarrowMorton (1992) term structure models so far has focused on the class having timedeterministic instantaneous forward rate volatility. In this case the forward rate is Markovian, even if the spot rate process is not. However, this Markovian feature can only be used unde ..."
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Cited by 2 (1 self)
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Research on the HeathJarrowMorton (1992) term structure models so far has focused on the class having timedeterministic instantaneous forward rate volatility. In this case the forward rate is Markovian, even if the spot rate process is not. However, this Markovian feature can only be used
Importance Sampling in the HeathJarrowMorton Framework
, 1999
"... This paper develops a variance reduction technique for pricing derivatives in highdimensional multifactor models, with particular emphasis on term structure models formulated in the HeathJarrow Morton framework. A premise of this work is that the largest gains in simulation e ciency come from ..."
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Cited by 14 (6 self)
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This paper develops a variance reduction technique for pricing derivatives in highdimensional multifactor models, with particular emphasis on term structure models formulated in the HeathJarrow Morton framework. A premise of this work is that the largest gains in simulation e ciency come from
An Investigation of the HeathJarrowMorton Term Structure Framework and its Application to the Pricing of South African Interest Rate Derivatives
, 1999
"... Introduction Growth in the derivatives markets has brought with it an everincreasing volume and range of interest rate dependent derivative products. To allow profitable, e#cient trading in these products, accurate and mathematically sound valuation techniques are required to make pricing, hedging ..."
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, hedging and risk management of the resulting positions possible. The pricing of interest rate contingent claims has two parts. Firstly, a finite number of pertinent economic fundamentals are used to price all zerocoupon (defaultfree) bonds of varying maturities. Secondly, taking these zerocoupon bond
Pricing Rate of Return Guarantees in a HeathJarrowMorton Framework
 Insurance: Mathematics and Economics
, 1999
"... Abstract. Rate of return guarantees are included in many nancial products, for example life insurance contracts or guaranteed investment contracts issued by investment banks. The holder of such a contract is guaranteed a xed periodically rate of return rather thanor in addition toa xed absolute am ..."
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Cited by 23 (2 self)
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amount at expiration. We consider rate of return guarantees where the underlying rate of return is either (i) the rate of return on a stock investment or (ii) the shortterm interest rate. Various types of these rate of return guarantees are priced in a general noarbitrage HeathJarrowMorton framework
LifeCycle Consumption Plans and Portfolio Policies in a HeathJarrowMorton
, 2006
"... This paper applies the methods of Detemple, Garcia, and Rindisbacher (2003, 2005) to derive optimal lifetime consumptionportfolio plans in an economy characterized by a Nfactor HeathJarrowMorton (1992) bond sector that is Markovian with respect to 3N state variables. The DetempleGarciaRindisba ..."
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Cited by 1 (1 self)
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This paper applies the methods of Detemple, Garcia, and Rindisbacher (2003, 2005) to derive optimal lifetime consumptionportfolio plans in an economy characterized by a Nfactor HeathJarrowMorton (1992) bond sector that is Markovian with respect to 3N state variables. The Detemple
Tests Of The HeathJarrowMorton Interest Rate Hypotheses Under Path Independence
, 2000
"... : We show that the discrete form of the HeathJarrowMorton(HJM) model for the term structure of interest rates implies a linear relationship between the one period rates of return on pure discount bonds of different maturities. The coefficients in this linear relationship are directly related to ..."
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: We show that the discrete form of the HeathJarrowMorton(HJM) model for the term structure of interest rates implies a linear relationship between the one period rates of return on pure discount bonds of different maturities. The coefficients in this linear relationship are directly related
OptionImplied RiskNeutral . . .
, 1999
"... In this selective literature review, we start by observing that in efficient markets, there is information incorporated in option prices that might help us to design option pricing models. To this end, we review the numerous methods of recovering riskneutral probability distributions from option pr ..."
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In this selective literature review, we start by observing that in efficient markets, there is information incorporated in option prices that might help us to design option pricing models. To this end, we review the numerous methods of recovering riskneutral probability distributions from option
Advance Access publication on May 6, 2013 Numerical
, 2011
"... integration of the Heath–Jarrow–Morton model of interest rates ..."
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