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An empirical test of the Brennan-Schwartz bond pricing model in the Australian context

Chiarella, Carl; Mackenzie, David; Pham, Toan M. - In: Asia Pacific journal of management : APJM ; a … 7 (1990), pp. 1-24

Persistent link: https://www.econbiz.de/10001109261

The volatility structure of the fixed income market under the HJM framework : a nonlinear filtering approach

Chiarella, Carl; Hung, Hing; Tô, Thuy-duong - 2005

Persistent link: https://www.econbiz.de/10002721773

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

We propose a generalization of the Shirakawa (1991) model to capture the jump component in fixed income markets. The model is formulated under the Heath, Jarrow and Morton (1992) framework, and allows the presence of a Wiener noise and a finite number of Poisson noises, each associated with a...

Persistent link: https://www.econbiz.de/10005232489

Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets

Bhar, Ram; Chiarella, Carl; To, Thuy-Duong - EconWPA - 2004

unobserved instantaneous forward rate is analyzed. The fact that futures contracts can be viewed as derivative instruments on the …

Persistent link: https://www.econbiz.de/10005413218

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

], Bhar and Chiarella [1], and Inui and Kijima [18], and also generalise the bond price formulae obtained therein. …

Persistent link: https://www.econbiz.de/10005390682

A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models

Bhar, Ram; Chiarella, Carl; To, Thuy Duong - Finance Discipline Group, Business School - 2002

is quantified and shown to be non-negligible. Then futures contracts are treated as derivative instruments written on …

Persistent link: https://www.econbiz.de/10004984491

Exchange Options Under Jump-Diffusion Dynamics

Cheang, Gerald H. L.; Chiarella, Carl - Finance Discipline Group, Business School - 2008

price processes also contain compound Poisson jump components. A Radon-Nikod´ym derivative process that induces the change … Radon-Nikod´ym derivative allows us to price the option under different financial-economic scenarios. We also consider …

Persistent link: https://www.econbiz.de/10004984495

Hedge Portfolios in Markets with Price Discontinuities

Cheang, Gerald H.L.; Chiarella, Carl - Finance Discipline Group, Business School - 2008

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 … parameters in the Radon-Nikodym derivative used in the alternative derivation of the integro-partial differential equation. …

Persistent link: https://www.econbiz.de/10004984596

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

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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