Unifying Gaussian Dynamic Term Structure Models from an HJM Perspective
Publication date
02/08/2016Keyword
Gaussian dynamic term structure modelsHJM
Finite dimensional realisations
Interest rate derivatives
Peer-Reviewed
NoOpen Access status
closedAccess
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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.Version
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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.Link to Version of Record
https://doi.org/10.2139/ssrn.2817599Type
Reportae974a485f413a2113503eed53cd6c53
https://doi.org/10.2139/ssrn.2817599