scholarly journals Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk

2006 ◽  
Author(s):  
Qiang Dai ◽  
Anh Le ◽  
Kenneth J. Singleton
Keyword(s):  
Term Structure ◽  
Discrete Time ◽  
Market Prices ◽  
Time Dynamic ◽  
Term Structure Models

scholarly journals Markovian term structure models in discrete time

2002 ◽  
Vol 12 (2) ◽  
pp. 710-729 ◽  
Author(s):  
Damir Filipović ◽  
Jerzy Zabczyk
Keyword(s):  
Term Structure ◽  
Discrete Time ◽  
Term Structure Models

Discrete time Wishart term structure models

2011 ◽  
Vol 35 (6) ◽  
pp. 815-824 ◽  
Author(s):  
Christian Gourieroux ◽  
Razvan Sufana
Keyword(s):  
Term Structure ◽  
Discrete Time ◽  
Term Structure Models

scholarly journals Term structure modeling under volatility uncertainty

2021 ◽  
Author(s):  
Julian Hölzermann
Keyword(s):  
Brownian Motion ◽  
Term Structure ◽  
Market Price ◽  
Forward Rate ◽  
Traditional Model ◽  
Diffusion Term ◽  
Market Prices ◽  
Term Structure Models ◽  
Drift Condition ◽  
Term Structure Modeling

AbstractIn this paper, we study term structure movements in the spirit of Heath et al. (Econometrica 60(1):77–105, 1992) under volatility uncertainty. We model the instantaneous forward rate as a diffusion process driven by a G-Brownian motion. The G-Brownian motion represents the uncertainty about the volatility. Within this framework, we derive a sufficient condition for the absence of arbitrage, known as the drift condition. In contrast to the traditional model, the drift condition consists of several equations and several market prices, termed market price of risk and market prices of uncertainty, respectively. The drift condition is still consistent with the classical one if there is no volatility uncertainty. Similar to the traditional model, the risk-neutral dynamics of the forward rate are completely determined by its diffusion term. The drift condition allows to construct arbitrage-free term structure models that are completely robust with respect to the volatility. In particular, we obtain robust versions of classical term structure models.

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