135,614 research outputs found
Sarah Morton and Prince Albert
No full textPhoto shows Prince Albert of Monaco, with photographer Sarah Morton, during the 2002 Winter Olympic
A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models
No full textResearch on the Heath-Jarrow-Morton (1992) term structure models so far has focused on the class having time-deterministic instantaneous forward rate volatility. In this case the forward rate is Markovian, even if the spot rate process is not. However, this Markovian feature can only be used under the historical measure, involving two unsatisfactory assumptions: one on market price risk, usually made for pure mathematical tractability, the other to use futures yields as a proxy for the instantaneous forward rate, which may result in estimation bias. This paper circumvents both of these assumptions. First, the bias is quantified and shown to be non-negligible. Then futures contracts are treated as derivative instruments written on forward rates to derive the full information maximum likelihood estimator for observable futures prices, using both time series and cross-sectional data, without the need to assume and estimate any functional forms for the market price of interest rate risk. The derivation involves the likelihood transformation method of Duan (1994). The method is then applied to the estimation of a humped forward rate volatility model for Eurodollar futures series traded on the Chicago Mercantile Exchange.term structure; heath-jarrow-morton; time-deterministic forward volatility; humped forward volatility model; full information maximum likelihood
Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model
No full textIn this paper, a class of forward rate dependent Markovian transformations of the Heth-Jarrow-Morton [HJM92] term structure model are obtained by considering volatility processes that are solutions of linear ordinary differential equations. These transformations generalise the Markovian system obtained by Carverhill [Car94], Ritchken and Sankarasubramanian [RS95], Bhar and Chiarella [BC97], and Inui and Kijima [IK98], and also generalise the bond price formulae obtained therin.
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In subsidium: the declining contribution of Germany and Eastern Europe to the Crusades to the Holy Land, 1221-91
No full text"Though for a short time the Lord had forsaken it [the Holy Land], with great mercy he gathered together his children and restored the whole land's people from men of different races and diverse languages and nations, so that therein the prophecy seemed to be fulfilled: 'Thy sons shall come from far, and thy daughters shall be nursed by thy side'. [As] he observed and drew [them] together, his heart wondered and he was glad when [many] had been directed to him across the great sea, especially those of Genoa, Venice and Pisa. The strength of the nations came to him, especially from France and Germany.
A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility
No full textThis paper considers a class of Heath-Jarrow-Morton term structure models with stochastic volatility. These models admit transformations to Markovian systems, and consequently lend themselves to well-established solution techniques for the bond and bond option prices. Solutions for certain special cases are obtained, and compared against their non-stochastic counterparts.
Morton, D N, VX38989
No full textThis record was harvested from a previous catalogue system and will be withdrawn in 2025. Information in this record may be superseded or incomplete. Visit this record in UMA's new catalogue at: https://archives.library.unimelb.edu.au/nodes/view/406380Surname: MORTON. Given Name(s) or Initials: D N. Military Service Number or Last Known Location: VX38989. Missing, Wounded and Prisoner of War Enquiry Card Index Number: 12510.247579
Item: [2016.0049.38657] "Morton, D N, VX38989
Article: Philip N. Brownstein and Morton W. Schomer, "HUD's New Communities Program Ends Unnoticed," April 7, 1980
No full textTextual: Article, copy; 14” x 8.5” (35.6 cm x 21.6 cm)Article by Philip N. Brownstein and Morton W. Schomer entitled "Hud's New Communities Program Ends Unnoticed" first appearing on April 7, 1980 in the Legal Times of Washington. This article discuses the demise of the Department of Housing and Urban Development's New Communities program. Specifically mentioned are the troubles with the Soul City development. Reston, Virginia is also mentioned in this article. Planned Community Archives Collection, 484.0
Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model
No full textWe present an explicit formula for European options on coupon bearing bonds and swaptions in the Heath-Jarrow-Morton (HJM) one factor model with non-stochastic volatility. The formula extends the Jamshidian formula for zero-coupon bonds. We provide also an explicit way to compute the hedging ratio (Delta) to hedge the option with its underlying.Bond option, swaption, explicit formula, HJM model, one factor model, hedging
Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines
No full textWe consider the pricing of American bond options in a Heath-Jarrow-Morton framework in which the forward rate volatility is a function of time to maturity and the instantaneous spot rate of interest. We have shown in Chiarella and El-Hassan (1996) that the resulting pricing partial differential operators are two dimensional in the spatial variables. In this paper we investigate an efficientnumerical method to solve there partial differential equations for American option prices and the corresponding free exercise surface. We consider in particular the method of lines which other investigators (eg Carr and Faguet (1994) and Van der Hoek and Meyer (1997)) have found to be efficient for American option pricing when there is one spatial variable. In extending this method for the two dimensional case, we solve the pricing equation by discretising the time variable and one state varialbe and using the spot rate of interest as a continuous variable. We compare our method with the lattice method of Li, Ritchken and Sankarasubramanian (1995).
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Walls of defence for the House of Israel: Ezekiel 13:5 and the Crusading Movement
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