Unifying Gaussian Dynamic Term Structure Models from an HJM Perspective
32 Pages Posted: 4 Aug 2016
Date Written: August 2, 2016
We show that the unified HJM-based approach of constructing Gaussian dynamic term structure models developed by Li, Ye, and Yu (2016) nests most existing GDTSMs as special cases. We also discuss issues of interest rate derivatives pricing under this approach and using integration to construct Markov representations of HJM models.
Keywords: Gaussian Dynamic Term Structure Models, HJM, Finite Dimensional Realizations, Interest Rate Derivatives
JEL Classification: C61, E43, E44, G12
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