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  • 1
    Electronic Resource
    Electronic Resource
    The Market Model of Interest Rate Dynamics (1997)
    Oxford, UK and Boston, USA : Blackwell Publishers Inc.
    Mathematical finance 7 (1997), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A class of term structure models with volatility of lognormal type is analyzed in the general HJM framework. The corresponding market forward rates do not explode, and are positive and mean reverting. Pricing of caps and floors is consistent with the Black formulas used in the market. Swaptions are priced with closed formulas that reduce (with an extra assumption) to exactly the Black swaption formulas when yield and volatility are flat. A two–factor version of the model is calibrated to the U.K. market price of caps and swaptions and to the historically estimated correlation between the forward rates.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00028
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  • 2
    Electronic Resource
    Electronic Resource
    A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Working within the Heath-Jarrow-Morton framework and using the theory of stochastic equations in infinite dimensions, a useful multifactor Gauss-Markov model for the movement of the whole of the yield curve is derived. Swaptions are priced. They are hedged by eliminating random terms between the semimartingale representations of the swaption and hedging instruments. Hedging efficiency is analyzed. the model is fitted to the swap/cap strips in Australia. Computation times on a 20-MHz laptop computer are acceptable.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00095.x
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