Add to ORKGIn this paper a bond market model and the related term structure of interest rates are studied where prices of zero coupon bonds are driven by a jump-diffusion process. A criterion is derived on the deterministic forward rate volatilities under which the short rate process is Markovian. In the case that the volatilities depend on the short rate sufficient conditions are presented for the existence of a finite-dimensional Markovian realization of the term structure model.
We give a complete characterization of affine term structure models based on a general nonnegative M...
In this paper, a class of forward rate dependent Markovian transformations of the Heath-Jarrow-Morto...
We compare short rate diffusion models with respect to their implications for term structure movemen...
We study a bond market model and related term structure of interest rates where prices of zero coupo...
This paper considers interest rate term structure models in a market attracting both continuous and ...
As a generalization of the Gaussian Heath-Jarrow-Morton term structure model, we present a new class...
An interest rate model is described in which randomness in the short-term interest rate is due entir...
We study a bond market model and related term structure of interest rates driven by a fractional Bro...
University of Technology, Sydney. Faculty of Business.NO FULL TEXT AVAILABLE. Access is restricted i...
We compare short rate diffusion models with respect to their implications for term structure movemen...
The aim of this paper is to generalize Heath, Jarrow and Morton (1992, Econometrica) model of the te...
This article provides new developments in characterizing the class of regime-switching exponential a...
This article provides new developments in characterizing the class of regime-switching exponential a...
This paper presents a consistent and arbitrage-free multifactor model of the term structure of inter...
In this paper, we review recent developments in modeling term structures of market yields on default...
We give a complete characterization of affine term structure models based on a general nonnegative M...
In this paper, a class of forward rate dependent Markovian transformations of the Heath-Jarrow-Morto...
We compare short rate diffusion models with respect to their implications for term structure movemen...
We study a bond market model and related term structure of interest rates where prices of zero coupo...
This paper considers interest rate term structure models in a market attracting both continuous and ...
As a generalization of the Gaussian Heath-Jarrow-Morton term structure model, we present a new class...
An interest rate model is described in which randomness in the short-term interest rate is due entir...
We study a bond market model and related term structure of interest rates driven by a fractional Bro...
University of Technology, Sydney. Faculty of Business.NO FULL TEXT AVAILABLE. Access is restricted i...
We compare short rate diffusion models with respect to their implications for term structure movemen...
The aim of this paper is to generalize Heath, Jarrow and Morton (1992, Econometrica) model of the te...
This article provides new developments in characterizing the class of regime-switching exponential a...
This article provides new developments in characterizing the class of regime-switching exponential a...
This paper presents a consistent and arbitrage-free multifactor model of the term structure of inter...
In this paper, we review recent developments in modeling term structures of market yields on default...
We give a complete characterization of affine term structure models based on a general nonnegative M...
In this paper, a class of forward rate dependent Markovian transformations of the Heath-Jarrow-Morto...
We compare short rate diffusion models with respect to their implications for term structure movemen...