Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model

2003 ◽  
Vol 38 (2) ◽  
pp. 337 ◽  
Author(s):  
Robert Jarrow ◽  
Yildiray Yildirim
Keyword(s):  
Hjm Model

scholarly journals Applying Heath-Jarrow-Morton Model to Forecasting the US Treasury Daily Yield Curve Rates

Mathematics ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 114
Author(s):  
Valerii Maltsev ◽  
Michael Pokojovy
Keyword(s):  
Predictive Power ◽  
Yield Curve ◽  
Real Data ◽  
Stochastic Evolution ◽  
Infinite Dimensions ◽  
No Arbitrage ◽  
Hjm Model ◽  
Concise Review ◽  
The Us ◽  
Modeling And Forecasting

The Heath-Jarrow-Morton (HJM) model is a powerful instrument for describing the stochastic evolution of interest rate curves under no-arbitrage assumption. An important feature of the HJM approach is the fact that the drifts can be expressed as functions of respective volatilities and the underlying correlation structure. Aimed at researchers and practitioners, the purpose of this article is to present a self-contained, but concise review of the abstract HJM framework founded upon the theory of interest and stochastic partial differential equations in infinite dimensions. To illustrate the predictive power of this theory, we apply it to modeling and forecasting the US Treasury daily yield curve rates. We fit a non-parametric model to real data available from the US Department of the Treasury and illustrate its statistical performance in forecasting future yield curve rates.

scholarly journals Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time

2012 ◽  
Author(s):  
Beyna Ingo ◽  
Carl Chiarella ◽  
Boda Kang
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives ◽  
Hjm Model

Hedging in a HJM model

2010 ◽  
Vol 7 (1) ◽  
pp. 8-13 ◽  
Author(s):  
Robert A. Jarrow
Keyword(s):  
Hjm Model

An implementation of the HJM model with application to Japanese interest futures

1996 ◽  
Vol 3 (2) ◽  
pp. 151-170 ◽  
Author(s):  
Kenji Kamizono ◽  
Takeaki Kariya
Keyword(s):  
Hjm Model

scholarly journals Explosion in the quasi-Gaussian HJM model

2018 ◽  
Vol 22 (3) ◽  
pp. 643-666
Author(s):  
Dan Pirjol ◽  
Lingjiong Zhu
Keyword(s):  
Hjm Model

A multiple-curve HJM model of interbank risk

2012 ◽  
Vol 6 (3) ◽  
pp. 155-190 ◽  
Author(s):  
Stéphane Crépey ◽  
Zorana Grbac ◽  
Hai-Nam Nguyen
Keyword(s):  
Hjm Model
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