• Unifying Gaussian Dynamic Term Structure Models from an HJM Perspective

      Li, H.; Ye, Xiaoxia; Fu, F. (2016-08-02)
      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.