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On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent forward rate curves

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  • A. Falco
  • LL. Navarro
  • J. Nave

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  • A. Falco & LL. Navarro & J. Nave, 2010. "On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent forward rate curves," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 495-504.
  • Handle: RePEc:taf:quantf:v:11:y:2010:i:4:p:495-504 DOI: 10.1080/14697680903493565
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    References listed on IDEAS

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    1. Bruce Choy & Tim Dun & Erik Schlögl, 2003. "Correlating Market Models," Research Paper Series 105, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Joshi, Mark S. & Liesch, Lorenzo, 2007. "Effective Implementation of Generic Market Models," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 37(02), pages 453-473, November.
    3. Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
    4. S. Galluccio & J.-M. Ly & Z. Huang & O. Scaillet, 2007. "Theory And Calibration Of Swap Market Models," Mathematical Finance, Wiley Blackwell, pages 111-141.
    5. Raoul Pietersz & Marcel Regenmortel, 2006. "Generic market models," Finance and Stochastics, Springer, vol. 10(4), pages 507-528, December.
    6. Svenstrup, Mikkel, 2005. "On the suboptimality of single-factor exercise strategies for Bermudan swaptions," Journal of Financial Economics, Elsevier, vol. 78(3), pages 651-684, December.
    7. Mark Joshi & Jochen Theis, 2002. "Bounding Bermudan swaptions in a swap-rate market model," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 370-377.
    8. Mark S. Joshi, 2007. "A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(3), pages 197-205.
    9. Alan Brace & Dariusz G¸atarek & Marek Musiela, 1997. "The Market Model of Interest Rate Dynamics," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 127-155.
    10. Frank de Jong & Joost Driessen & Antoon Pelsser, 2004. "On the Information in the Interest Rate Term Structure and Option Prices," Review of Derivatives Research, Springer, pages 99-127.
    11. L. C. G. Rogers, 2002. "Monte Carlo valuation of American options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 271-286.
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