Pricing the Internet rate derivatives with the Heath -Jarrow -Morton models.

Title: Pricing the Internet rate derivatives with the Heath -Jarrow -Morton models.
Identifier: AAI9986397
identifier: 9986397
Creator: Zhu, Jintao.
Contributor: Adviser: Nusret Cakici
Date: 2000
Language: English
Publisher: City University of New York.
Subject: Economics, Finance
Abstract: The Heath-Jarrow-Morton models are the theoretically most satisfied models in pricing the interest rate derivatives. However, the non-Markovian property of the models makes the lattice explode exponentially, which makes the implementation of the models to practical calculations impossible. Recently, Ritchken and Sankarsubramanian put forward a method to deal with this problem, which restricts the volatility structure to a certain type so that the non-Markovian property could be partly eliminated.;Lots of tests have been done on the HJM models modified by Ritchken and Sankarsubramanian in pricing the interest rate derivatives such as options on Eurodollar futures, on discount bonds, on coupon bonds, and on spot rates. The RS algorithm is quite powerful in pricing the short-term interest rate options, but it fails in many cases in pricing the long-term options unless the parameters for the models are selected purposely. Mathematical analysis is given to show the range, in which the RS algorithm works or does not work.
Type: dissertation
Source: PQT Legacy CUNY.xlsx
degree: Ph.D.

Media: Pricing the Internet rate derivatives with the Heath -Jarrow -Morton models.