A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility

Carl Chiarella and Oh-Kang Kwon
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Oh-Kang Kwon: University of Sydney

No 34, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: This paper considers a class of Heath-Jarrow-Morton term structure models with stochastic volatility. These models admit transformations to Markovian systems, and consequently lend themselves to well-established solution techniques for the bond and bond option prices. Solutions for certain special cases are obtained, and compared against their non-stochastic counterparts.

Pages: 22 pages
Date: 2000-03-01
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Citations: View citations in EconPapers (6)

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