Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model

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

No 5, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: In this paper, a class of forward rate dependent Markovian transformations of the Heth-Jarrow-Morton [HJM92] term structure model are obtained by considering volatility processes that are solutions of linear ordinary differential equations. These transformations generalise the Markovian system obtained by Carverhill [Car94], Ritchken and Sankarasubramanian [RS95], Bhar and Chiarella [BC97], and Inui and Kijima [IK98], and also generalise the bond price formulae obtained therin.

Pages: 18 pages
Date: 1999-04-01
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Citations: View citations in EconPapers (13)

Published as: Chiarella, C. and Kwon, O., 2001, "Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model?", Finance and Stochastics, 5(2), 237-257.

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Journal Article: Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model (2001)
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