Search Results for: A Class Of Heath Jarrow Morton Term Structure Models With Stochastic Volatility

A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility

A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility
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Total Pages : 22
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ISBN-10 : OCLC:46881954
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Book Synopsis A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility by : Carl Chiarella

Download or read book A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility written by Carl Chiarella and published by . This book was released on 2000 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:


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A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility
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Most term structure models with stochastic volatility are restrictive in that they assume the risk in derivative securities can be perfectly hedged by a portfol
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Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics

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This paper considers the class of Heath-Jarrow-Morton term structure models where the spot interest rate is Markov and the term structure at time t is a functio
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The interest rate transition from the positive environment, into the negative territory questions the consensus of interest rates and opens up a wide field of u