Modeling the interest-rate evolution through the instantaneous short rate has some advantages, mostly the large liberty one has in choosing the related dynamics. For example, for one-factor short-rate models one is free to choose the drift and instantaneous volatility coefficient in the related ...
The Application and Model of Term Structure on the CPI under the HJM Framework; HJM框架下基于CPI的期限结构模型及其应用 更多例句>> 2) frame [英][freɪm] [美][frem] 框,框架,读框 3) Frame [英][freɪm] [美][frem] 框架 1. Analyze the development and frame of incident comman...
(HJM模型在金融风险管理中得到广泛应用。) Can you explain the basics of the HJM framework to me?(你能向我解释一下HJM框架的基础知识吗?) We need to consider the implications of the HJM theory for our investment strategy.(我们需要考虑HJM理论对我们的投资策略的影响。...
Carl Chiarella,Christina Nikitopoulos Sklibosios. A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework[J]. Asia - Pacific Financial Markets . 2003 (2-3)C. Chiarella, C. N. Sklibosios, A class of jump-diffusion bond pricing models within the HJM-Framework, Asia-...
Chaos and coherence: a new framework for interest–rate modelling By an interest rate model we mean the specification of a spot rate process rt and of a market price of risk process λt both under the “natural”... DC Brody,LP Hughston - 《Proceedings of the Royal Society A Mathematical...
1SimulatingAmericanBondOptionsinanHJMFrameworkAbstractThispaperdevelopsamethodcalledMarkovChainApproximation(MCA)toapproximatethevalueofAmericanbondop..
关键词:Lévy过程;HJM框架;债券市场;远期鞅测度;远期债券价格过程;无套利中图分类号:O29 文献标识码:A doi:10.3969/j.issn.2095‐4298.2014.02.013Sufficientconditionofno‐arbitrageforbondmarketundertheHJMframeworkdrivenbyLévyprocessDuFengjiao(Mathematics&PhysicalSciencesTechnology,XuzhouInstituteofTechnology,Xuzhou...
We develop a multiple-curve model, set in the HJM framework and driven by a L茅vy process. We proceed with joint calibration to OTM swaptions and co-terminal ATM swaptions of different tenors, the calibration to OTM swaptions guaranteeing that the model correctly captures volatility smile ...
There are various additional models built on the HJM Framework. They all generally look to predict the entire forward rate curve, not just the short rate or another point on the curve. The biggest issue with HJM Models is that they tend to have infinite dimensions, making it almost impossible...
In partial support of the practitioner's arguments, we develop a simple scalar condition within the HJM framework that suffices to guarantee that the convexity bias is positive. Moreover, when we check this condition on the LIBOR futures data, we find strong empirical support for the new ...