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Unifying Gaussian Dynamic Term Structure Models from an HJM Perspective

Li, H.
; 
Ye, Xiaoxia
; 
Fu, F.
Publication Date
02/08/2016
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Keywords
Gaussian dynamic term structure models, HJM, Finite dimensional realisations, Interest rate derivatives
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Peer-Reviewed
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closedAccess
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Management and Law Publications
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Abstract
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.
URI
http://hdl.handle.net/10454/14321
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Citation
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.
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https://doi.org/10.2139/ssrn.2817599
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Report
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