A complete yield curve description of a Markov interest rate model

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dc.contributor.authorElliott, R.
dc.contributor.authorMamon, R.
dc.date.issued2003
dc.description© World Scientific Publishing Company
dc.description.abstractThis paper aims to present a complete term structure characterisation of a Markov interest rate model. To attain this objective, we first give a proof that establishes the Unbiased Expectation Hypothesis (UEH) via the forward measure. The UEH result is then employed, which considerably facilitates the calculation of an explicit analytic expression for the forward rate f(t, T). The specification of the bond price P(t, T), yield rate Y(t, T) and f(t, T) gives a complete set of yield curve descriptions for an interest rate market where the short rate r is a function of a continuous time Markov chain.
dc.description.statementofresponsibilityRobert J. Elliott; Rogemar S. Mamon
dc.identifier.citationInternational Journal of Theoretical & Applied Finance, 2003; 6(4):317-326
dc.identifier.doi10.1142/S0219024903001852
dc.identifier.issn0219-0249
dc.identifier.issn1793-6322
dc.identifier.urihttp://hdl.handle.net/2440/459
dc.language.isoen
dc.publisherWorld Scientific Publishing Co Pte Ltd
dc.rightsCopyright status unknown
dc.source.urihttp://www.worldscinet.com/cgi-bin/details.cgi?id=pii:S0219024903001852&type=html
dc.subjectMarkov chain
dc.subjectsemi-martingale
dc.subjectforward measure
dc.subjectunbiased expectation hypothesis.
dc.titleA complete yield curve description of a Markov interest rate model
dc.typeJournal article
pubs.publication-statusPublished

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