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Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics

132 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

Abstract

Andrew Jeffrey, Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics, The Journal of Financial and Quantitative Analysis, Vol. 30, No. 4 (Dec., 1995), pp. 619-642

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1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1979Martingales and arbitrage in multiperiod securities markets 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1993Dynamic Asset Pricing Theory.1981Martingales and stochastic integrals in the theory of continuous trading 1990Pricing Interest-Rate-Derivative Securities 1985An Intertemporal General Equilibrium Model of Asset Prices

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