2004•SSRN Electronic JournalOpen access

A Class of Stochastic Volatility HJM Interest Rate Models

Carl Chiarella, David B. Colwell, Oh Kang Kwon

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Key concepts: Heath–Jarrow–Morton framework, Stochastic volatility, Volatility (finance), Econometrics, Bond, Economics, SABR volatility model, Martingale (probability theory)

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