{"title":"远期利率模型","authors":"T. Björk","doi":"10.1093/0198775180.003.0018","DOIUrl":null,"url":null,"abstract":"In this chapter we study the Heath–Jarrow–Morton framework for forward rate models. Building on results from the previous chapter, the HJM drift condition is derived, some examples are studied, and the general Gaussian HJM model is analyzed in detail. The Musiela parameterization of forward rates is introduced and discussed in the context of infinite dimensional SDEs.","PeriodicalId":311283,"journal":{"name":"Arbitrage Theory in Continuous Time","volume":"10 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1998-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Forward Rate Models\",\"authors\":\"T. Björk\",\"doi\":\"10.1093/0198775180.003.0018\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this chapter we study the Heath–Jarrow–Morton framework for forward rate models. Building on results from the previous chapter, the HJM drift condition is derived, some examples are studied, and the general Gaussian HJM model is analyzed in detail. The Musiela parameterization of forward rates is introduced and discussed in the context of infinite dimensional SDEs.\",\"PeriodicalId\":311283,\"journal\":{\"name\":\"Arbitrage Theory in Continuous Time\",\"volume\":\"10 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"1998-09-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Arbitrage Theory in Continuous Time\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1093/0198775180.003.0018\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Arbitrage Theory in Continuous Time","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1093/0198775180.003.0018","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
In this chapter we study the Heath–Jarrow–Morton framework for forward rate models. Building on results from the previous chapter, the HJM drift condition is derived, some examples are studied, and the general Gaussian HJM model is analyzed in detail. The Musiela parameterization of forward rates is introduced and discussed in the context of infinite dimensional SDEs.
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