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Les modèles HJM et LMM revisités

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  • Francois-Éric Racicot

    () (Département des sciences administratives, Université du Québec (Outaouais) et LRSP)

  • Raymond Théoret

    () (Département de stratégie des affaires, Université du Québec (Montréal))

Abstract

In this paper, we study the following models : Heath-Jarrow-Morton (1992) and Libor-Market- Model, also known as Brace-Gatarek-Musiela model (1997). We survey the extensions of these models and their representation in the Black and Scholes world. Our approach is pedagogical and is based on an exhaustive elaboration of the developments of these models. Finally, we discuss the evolution of these models towards the pricing of more complex structured derivatives, like TARN and we also briefly analyse more advanced versions like the SV Cheyette model.

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File URL: http://www.repad.org/ca/qc/uq/uqo/dsa/CahierderechercheracicotHJM1.pdf
File Function: First version, 2006
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Bibliographic Info

Paper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number UQO-DSA-wp042006.

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Length: 39 pages
Date of creation: 03 Jan 2006
Date of revision:
Handle: RePEc:pqs:wpaper:042006

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Keywords: derivatives; financial engineering; asset valuation; computational finance.;

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