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A 12-Factor Heath, Jarrow, And Morton Stochastic Volatility Model For A 13-Country `World’ Term Structure Model, Using Daily Data From January 1, 1962 Through September 30, 2021 ...
Dr. Jarrow's 1992 paper, written with David Heath and Andrew Morton, provides the underlying framework for the model's estimations.
Black and Karasinski (1991) One-factor models with constant interest rate volatility (affine models) Vasicek (1977) Ho and Lee (1986) Extended Vasicek or Hull and White Model (1990, 1993) ...
By utilising models such as the Heath–Jarrow–Morton framework, affine processes and chaos expansions, scholars are able to capture the complexities of yield curves and the interdependencies ...
Kristian R. Miltersen, Klaus Sandmann, Dieter Sondermann, Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates, The Journal of Finance, Vol. 52, No. 1 (Mar., 1997), pp.
La plupart des modèles de taux d'intérêt font l'hypothèse de structure factorielle où les taux d'intérêt dépendent linéairement de certains facteurs. Nous dérivons ici les conséquences d'une telle ...
Kamakura-AnUpdatedHJMModelforSpain20211031v1-20211123.pdf An 11-Factor Heath, Jarrow, and Morton Model for the Government of Spain Yield Curve, Using Daily Data from July 1, 1987through October 31 ...
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