Implementing No-Arbitrage Term Structure of Interest Rate Models in Discrete Time When Interest Rates Are Normally Distributed

  title={Implementing No-Arbitrage Term Structure of Interest Rate Models in Discrete Time When Interest Rates Are Normally Distributed},
  author={Dwight Grant and Gautam Vora},
The article develops a method for implementing nonarbitrage term structure of interest rate models for the single-factor model under the Heath-Jarrow-Morton (HJM) framework of the evolution of forward interest rates. The HJM framework is universal in the sense that it is based on the no-arbitrage condition, and it can accommodate nearly all existing models if interest rates - spot rate and forward rates - distributed normally. The implementation requires the calculation of drift adjustment… Expand
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  • P. Boyle
  • Mathematics, Computer Science
  • 1978
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