Unifying Gaussian Dynamic Term Structure Models from an HJM Perspective

Description

No / We show that the unified HJM-based approach of constructing Gaussian dynamic term structure models developed by Li, Ye, and Yu (2016) nests most existing GDTSMs as special cases. We also discuss issues of interest rate derivatives pricing under this approach and using integration to construct Markov representations of HJM models.

Links & Downloads

1. Li H, Ye X and Yu F (2016) Unifying Gaussian Dynamic Term Structure Models from an HJM Perspective. Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 2817599.
2. http://hdl.handle.net/10454/14321
3. https://doi.org/10.2139/ssrn.2817599

Tags

Gaussian dynamic term structure models

HJM

Finite dimensional realisations

Interest rate derivatives

Additional Fields

Identifer	oai:union.ndltd.org:BRADFORD/oai:bradscholars.brad.ac.uk:10454/14321
Date	08 February 2016
Creators	Li, H., Ye, Xiaoxia, Fu, F.
Source Sets	Bradford Scholars
Language	English
Detected Language	English
Type	Report, No full-text in the repository