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The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison
To, Thuy Duong; Chiarella, Carl - Royal Economic Society - RES - 2003
finite number of Poisson noises, each associated with a time deterministic volatility function. We derive the evolution of …
Persistent link: https://www.econbiz.de/10005232489
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Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets
Bhar, Ram; Chiarella, Carl; To, Thuy-Duong - EconWPA - 2004
This paper considers a class of Heath-Jarrow-Morton (1992) term structure models, characterized by time deterministic volatilities for the instantaneous forward rate. The bias that arises from using observed futures yields as a proxy for the unobserved instantaneous forward rate is analyzed. The...
Persistent link: https://www.econbiz.de/10005413218
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Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
Chiarella, Carl; Kwon, Oh Kang - In: Finance and Stochastics 5 (2001) 2, pp. 237-257
In this paper, a class of forward rate dependent Markovian transformations of the Heath-Jarrow-Morton [16] term structure model are obtained by considering volatility processes that are solutions of linear ordinary differential equations. These transformations generalise the Markovian systems...
Persistent link: https://www.econbiz.de/10005390682
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A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models
Bhar, Ram; Chiarella, Carl; To, Thuy Duong - Finance Discipline Group, Business School - 2002
Research on the Heath-Jarrow-Morton (1992) term structure models so far has focused on the class having time-deterministic instantaneous forward rate volatility. In this case the forward rate is Markovian, even if the spot rate process is not. However, this Markovian feature can only be used...
Persistent link: https://www.econbiz.de/10004984491
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Exchange Options Under Jump-Diffusion Dynamics
Cheang, Gerald H. L.; Chiarella, Carl - Finance Discipline Group, Business School - 2008
Margrabe provides a pricing formula for an exchange option where the distributions of both stock prices are log …-normal with correlated Wiener components. Merton has provided a formula for the price of a European call option on a single stock … where the stock price process contains a continuous Poisson jump component, in addition to a continuous log …
Persistent link: https://www.econbiz.de/10004984495
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Hedge Portfolios in Markets with Price Discontinuities
Cheang, Gerald H.L.; Chiarella, Carl - Finance Discipline Group, Business School - 2008
these assets. It is well-known that such markets are incomplete in the Harrison and Pliska sense. We derive a pricing … relation by adopting a Radon-Nikodym derivative based on the exponential martingale of a correlated Brownian motion process and … a multivariate compound Poisson process. The parameters in the Radon-Nikodym derivative define a family of equivalent …
Persistent link: https://www.econbiz.de/10004984596
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Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model
Bhar, Ram; Chiarella, Carl - Finance Discipline Group, Business School - 1996
This paper builds upon the authors' previous work on transformation of the Heath-Jarrow-Morton (HJM) model of the term structure of interest rates to state space form for a fairly general class of volatility specification including stochastic variables. Estimation of this volatility function is...
Persistent link: https://www.econbiz.de/10005112892
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Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility
Chiarella, Carl; Musti, Silvana - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005537692
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Exchange Options under Jump-Diffusion Dynamics
Cheang, Gerald H. L.; Chiarella, Carl - 2009
Margrabe provides a pricing formula for an exchange option where the distributions of both stock prices are log …-normal with correlated Wiener components. Merton has provided a formula for the price of a European call option on a single stock … where the stock price process contains a continuous Poisson jump component, in addition to a continuous log …
Persistent link: https://www.econbiz.de/10014210168
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Hedge Portfolios in Markets with Price Discontinuities
Cheang, Gerald H. L. - 2008
these assets. It is well-known that such markets are incomplete in the Harrison and Pliska sense. We derive a pricing … relation by adopting a Radon-Nikodym derivative based on the exponential martingale of a correlated Brownian motion process and … a multivariate compound Poisson process. The parameters in the Radon-Nikodym derivative define a family of equivalent …
Persistent link: https://www.econbiz.de/10012724447