Add to ORKGWe study a bond market model and related term structure of interest rates where prices of zero coupon bonds are driven by a jump-diffusion process. We present a criterion on the deterministic forward rate volatilities under which the short rate process is Markovian and give sufficient conditions on the bond price volatility structure depending on the short rate for existing a finite-dimensional Markovian realization of the term structure model.
We compare short rate diffusion models with respect to their implications for term structure movemen...
This paper presents a consistent and arbitrage-free multifactor model of the term structure of inter...
For general volatility structures for forward rates, the evolution of interest rates may not be Mark...
We study a bond market model and related term structure of interest rates where prices of zero coupo...
In this paper a bond market model and the related term structure of interest rates are studied where...
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...
This paper considers interest rate term structure models in a market attracting both continuous and ...
We compare short rate diffusion models with respect to their implications for term structure movemen...
University of Technology, Sydney. Faculty of Business.NO FULL TEXT AVAILABLE. Access is restricted i...
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...
The aim of this paper is to generalize Heath, Jarrow and Morton (1992, Econometrica) model of the te...
In this paper, we review recent developments in modeling term structures of market yields on default...
We compare short rate diffusion models with respect to their implications for term structure movemen...
This paper presents a consistent and arbitrage-free multifactor model of the term structure of inter...
For general volatility structures for forward rates, the evolution of interest rates may not be Mark...
We study a bond market model and related term structure of interest rates where prices of zero coupo...
In this paper a bond market model and the related term structure of interest rates are studied where...
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...
This paper considers interest rate term structure models in a market attracting both continuous and ...
We compare short rate diffusion models with respect to their implications for term structure movemen...
University of Technology, Sydney. Faculty of Business.NO FULL TEXT AVAILABLE. Access is restricted i...
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...
The aim of this paper is to generalize Heath, Jarrow and Morton (1992, Econometrica) model of the te...
In this paper, we review recent developments in modeling term structures of market yields on default...
We compare short rate diffusion models with respect to their implications for term structure movemen...
This paper presents a consistent and arbitrage-free multifactor model of the term structure of inter...
For general volatility structures for forward rates, the evolution of interest rates may not be Mark...