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.
Volume (Year): 5 (2001)
Issue (Month): 2 ()
|Note:||received: April 1999; final version received: March 2000|
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