Transformation of Heath-Jarrow-Morton Models to Markovian Systems
نویسندگان
چکیده
منابع مشابه
The Heath - Jarrow - Morton Framework
The Heath-Jarrow-Morton framework refers to a class of models that are derived by directly modeling the dynamics of instantaneous forward-rates. The central insight of this framework is to recognize that there is an explicit relationship between the drift and volatility parameters of the forward-rate dynamics in a no-arbitrage world. The familiar short-rate models can be derived in the HJM fram...
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In this paper, a class of forward rate dependent Markovian transformations of the Heath-Jarrow-Morton [HJM92] term structure model are obtained by considering volatility processes that are solutions of linear ordinary differential equations. These transformations generalise the Markovian systems obtained by Carverhill [Car94], Ritchken and Sankarasubramanian [RS95], Bhar and Chiarella [BC97], a...
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This paper aims at transferring the philosophy behind Heath-Jarrow-Morton to the modelling of call options with all strikes and maturities. Contrary to the approach by Carmona and Nadtochiy [8] and related to the recent contribution [10] by the same authors, the key parametrisation of our approach involves time-inhomogeneous Lévy processes instead of local volatility models. We provide necessar...
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FALL 1999 This article develops a variance-reduction technique for pricing derivatives by simulation in highdimensional multifactor models. A premise of this work is that the greatest gains in simulation efficiency come from taking advantage of the structure of both the cash flows of a security and the model in which it is priced. For this to be feasible in practice requires automating the iden...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 1995
ISSN: 1556-5068
DOI: 10.2139/ssrn.882663