Markov Representation of the Heath-Jarrow-Morton Model

By Oren Cheyette. 2001

68 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/142347d9b9f30a2c1c529c87d1170b62b88fcfa0

Citations in the corpus

• Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility (2002, unknown): “However, as demonstrated by Cheyette (1995), a Markov representation can be found if we assume the functional form a(ss T) = a(T)=a(s) and !”