首页 | 本学科首页   官方微博 | 高级检索  
     


VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1
Authors:Peter Ritchken  L. Sankarasubramanian
Abstract:For general volatility structures for forward rates, the evolution of interest rates may not be Markovian and the entire path may be necessary to capture the dynamics of the term structure. This article identifies conditions on the volatility structure of forward rates that permit the dynamics of the term structure to be represented by a two-dimensional state variable Markov process. the permissible set of volatility structures that accomplishes this goal is shown to be quite large and includes many stochastic structures. In general, analytical characterization of the terminal distributions of the two state variables is unlikely, and numerical procedures are required to value claims. Efficient simulation algorithms using control variates are developed to price claims against the term structure.
Keywords:term structure dynamics  volatility of forward rates  Path dependent models  Heath  Jarrow  Morton models  Markovian models of the term structure
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号