Markovian term structure models in discrete time
Filipović, Damir ; Zabczyk, Jerzy
Ann. Appl. Probab., Tome 12 (2002) no. 1, p. 710-729 / Harvested from Project Euclid
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In this article we discuss Markovian term structure models in discrete time and with continuous state space. More precisely, we are concerned with the structural properties of such models if one has the Markov property for a part of the forward curve. We investigate the two cases where these parts are either a true subset of the forward curve, including the short rate, or the entire forward curve. For the former case we give a sufficient condition for the term structure model to be affine. For the latter case we provide a version of the Heath, Jarrow and Morton drift condition. Under a Gaussian assumption a Heath--Jarrow--Morton--Musiela type equation is derived.
Publié le : 2002-05-14
Classification:  Affine term structure,  forward curve models,  Gaussian term structure,  Markov chains in discrete time with continuous state space,  91B28,  60J05 
@article{1026915622,
     author = {Filipovi\'c, Damir and Zabczyk, Jerzy},
     title = {Markovian term structure models in discrete time},
     journal = {Ann. Appl. Probab.},
     volume = {12},
     number = {1},
     year = {2002},
     pages = { 710-729},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1026915622}
}

Filipović, Damir; Zabczyk, Jerzy. Markovian term structure models in discrete time. Ann. Appl. Probab., Tome 12 (2002) no. 1, pp.  710-729. http://gdmltest.u-ga.fr/item/1026915622/