The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option
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- R. Bhar & C. Chiarella, 1997.
"Transformation of Heath?Jarrow?Morton models to Markovian systems,"
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- Ram Bhar & Carl Chiarella, 1995. "Transformation of Heath-Jarrow-Morton Models to Markovian Systems," Working Paper Series 53, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
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- Carl Chiarella & Sara Pasquali & Wolfgang Runggaldier, 2001. "On Filtering in Markovian Term Structure Models (An Approximation Approach)," Research Paper Series 65, Quantitative Finance Research Centre, University of Technology, Sydney.
- Chiarella, Carl & Clewlow, Les & Musti, Silvana, 2005. "A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models," European Journal of Operational Research, Elsevier, vol. 161(2), pages 325-336, March.
- Y. D'Halluin & P. A. Forsyth & K. R. Vetzal & G. Labahn, 2001. "A numerical PDE approach for pricing callable bonds," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(1), pages 49-77.
- Fima Klebaner & Truc Le & Robert Liptser, 2006. "On Estimation of Volatility Surface and Prediction of Future Spot Volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(3), pages 245-263.
- Carl Chiarella & Oh-Kang Kwon, 2000. "A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility," Research Paper Series 34, Quantitative Finance Research Centre, University of Technology, Sydney.
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