A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON

• Alan Brace

• Marek Musiela

抄録

Working within the Heath‐Jarrow‐Morton framework and using the theory of stochastic equations in infinite dimensions, a useful multifactor Gauss‐Markov model for the movement of the whole of the yield curve is derived. Swaptions are priced. They are hedged by eliminating random terms between the semimartingale representations of the swaption and hedging instruments. Hedging efficiency is analyzed. the model is fitted to the swap/cap strips in Australia. Computation times on a 20‐MHz laptop computer are acceptable.

収録刊行物

• Mathematical Finance

  Mathematical Finance 4 (3), 259-283, 1994-07

  Wiley

キーワード

• Applied Mathematics
• Economics and Econometrics
• Social Sciences (miscellaneous)
• Finance
• Accounting

詳細情報

• CRID: 1360574095605219584
• NII論文ID: 30020236097
• DOI: 10.1111/j.1467-9965.1994.tb00095.x
• ISSN: 14679965
• ISSN: 09601627
• Web Site: https://api.wiley.com/onlinelibrary/tdm/v1/articles/10.1111%2Fj.1467-9965.1994.tb00095.x
• Web Site: https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1467-9965.1994.tb00095.x
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  • CiNii Articles