Unifying Gaussian Dynamic Term Structure Models from an HJM Perspective
| Autor: | Haitao Li, Xiaoxia Ye, F. Fu |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
History
Heath–Jarrow–Morton framework Polymers and Plastics Interest rate derivative Markov chain Gaussian Structure (category theory) Construct (python library) Industrial and Manufacturing Engineering Term (time) symbols.namesake Perspective (geometry) Computer Science::Computational Engineering Finance and Science symbols Econometrics Applied mathematics Business and International Management Mathematics |
| Zdroj: | SSRN Electronic Journal. |
| ISSN: | 1556-5068 |
| DOI: | 10.2139/ssrn.2817599 |
| Popis: | We show that the unified HJM-based approach of constructing Gaussian dynamic term structure models developed by Li, Ye, and Yu (2016) nests most existing GDTSMs as special cases. We also discuss issues of interest rate derivatives pricing under this approach and using integration to construct Markov representations of HJM models. |
| Databáze: | OpenAIRE |
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