A Complete Stochastic Volatility Model in the HJM Framework

Carl Chiarella and Oh-Kang Kwon

No 43, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: This paper considers a stochastic volatility version of the Heath, Jarrow and Morton (1992) term structure model. Market completeness is obtained by adapting the Hobson and Rogers (1998) complete stochastic volatility stock market model to the interest rate setting. Numerical simulation for a special case is used to compare the stochastic volatility model against the traditional Vasicek (1977) model.

Pages: 12 pages
Date: 2000-07-01
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Citations: View citations in EconPapers (7)

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