On forward interest rate models : via random fields and Markov jump processes

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2007

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Altay, Sühan

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The essence of the interest rate modeling by using Heath-Jarrow-Morton framework is to find the drift condition of the instantaneous forward rate dynamics so that the entire term structure is arbitrage free. In this study, instantaneous forward interest rates are modeled using random fields and Markov Jump processes and the drift conditions of the forward rate dynamics are given. Moreover, the methodology presented in this study is extended to certain financial settings and instruments such as multi-country interest rate models, term structure of defaultable bond prices and forward measures. Also a general framework for bond prices via nuclear space valued semi-martingales is introduced.

Subject Keywords

Finance.

URI

http://etd.lib.metu.edu.tr/upload/12608342/index.pdf
https://hdl.handle.net/11511/16794

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Graduate School of Applied Mathematics, Thesis

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Citation Formats

S. Altay, “On forward interest rate models : via random fields and Markov jump processes ,” M.S. - Master of Science, Middle East Technical University, 2007.