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Markovian spot rate dynamics with stochastic volatility structures

Author

Listed:
  • K. T. Au
  • A. B. Sim
  • D. C. Thurston

Abstract

Recent studies of bond pricing dynamics and stochastic term structure models have focused on Markovian spot rate processes with deterministic volatilities. In this paper we provide and extension to allow for stochastic volatility functions and investigate conditions under which the dynamics of the spot rate is a Markov process.

Suggested Citation

  • K. T. Au & A. B. Sim & D. C. Thurston, 1997. "Markovian spot rate dynamics with stochastic volatility structures," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(2), pages 101-108.
    • Handle: RePEc:taf:apmtfi:v:4:y:1997:i:2:p:101-108
    DOI: 10.1080/13504869700000002
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