Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
In this paper, a class of forward rate dependent Markovian transformations of the Heath-Jarrow-Morton  term structure model are obtained by considering volatility processes that are solutions of linear ordinary differential equations. These transformations generalise the Markovian systems obtained by Carverhill , Ritchken and Sankarasubramanian , Bhar and Chiarella , and Inui and Kijima , and also generalise the bond price formulae obtained therein.
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Volume (Year): 5 (2001)
Issue (Month): 2 ()
|Note:||received: April 1999; final version received: March 2000|
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- Heath, David & Jarrow, Robert & Morton, Andrew, 1992.
"Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation,"
Econometric Society, vol. 60(1), pages 77-105, January.
- David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305 World Scientific Publishing Co. Pte. Ltd..
- Tomas BjÃrk & Andrea Gombani, 1999. "Minimal realizations of interest rate models," Finance and Stochastics, Springer, vol. 3(4), pages 413-432.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-384, March.
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