The Heath-Jarrow-Morton Framework

Yi Tang and Bin Li
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Yi Tang: Goldman, Sachs & Co., Inc., USA
Bin Li: Westport Financial, LLC, USA

Chapter 6 in Quantitative Analysis, Derivatives Modeling, and Trading Strategies:In the Presence of Counterparty Credit Risk for the Fixed-Income Market, 2007, pp 218-248 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:The Heath-Jarrow-Morton ModelThe Ritchken-Sankarasubramanian ModelThe Inui-Kijima ModelOverview of Numerical Implementations of the RS and the IK ModelRecombining Trinomial Tree TechniqueAdaptive Recombining Trinomial Tree TechniqueOverview of Applications of the Adaptive Trinomial Tree Technique to the RS Model and the IK ModelAppendixClosed-form Solutions for the RS ModelClosed-form Solutions for the IK Model

Keywords: CVA; Credit Valuation Adjustment; Counterparty Credit; BGM Model; HJM Model; RS Model; Martingale; Derivatives Modeling; Martingale Resampling; Orthogonal Exponential Spline; Stat Arb; Nonexploding Bushy Tree; NBT; PRDC; TARN; Snowball; Snowbear; CCDS; Credit Extinguisher (search for similar items in EconPapers)
Date: 2007
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