Publications: General interest-rate models and the universality of HJM
Abstract
There are now many models of interest-rate markets available.
Many are based on the powerful HJM model of Heath, Jarrow and Morton (1992).
Others are not (explicitly) set within the HJM framework,
but are driven by, say, the short-term interest rate. In this
paper we shall describe the appearance of a general interest-rate market.
We shall also show that under some additional technical restrictions,
that the general model is the short-rate model, and that the short-rate model
is the HJM model. In other words, every
`sufficiently nice' model is a HJM model.
- 1. Introduction
- 2. Main results
- 3. Preliminary results
- 4. Proofs of the theorems
- 5. Two Examples
- 6. Conclusions
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