caa a22 4500 388047550 CHVBK 20180307125042.0 cr unu---uuuuu 161130e199809 xx s 000 0 eng 10.2307/2331103 doi S0022109000001010 pii (NATIONALLICENCE)cambridge-10.2307/2331103 A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models [Elektronische Daten] We consider the general n-factor Heath, Jarrow, and Morton model (1992) and provide a sufficient condition on the volatility structure for the spot rate process to be Markovian with 2n state variables. The price of a discount bond is also Markovian with the same state variables and, hence, claims against the term structure can be efficiently priced using standard simulation techniques. Our results extend earlier works such as Ritchken and Sankarasubramanian (1995) where the one-factor model is treated, and Carverhill (1994), where the volatility structure is non-random. Numerical experiments show that our model can explain the volatility smile observed in the interest rate options market and also overcome the biases noted by Flesaker (1993). Copyright © School of Business Administration, University of Washington 1998 Inui Koji Financial Research Department, NLI Research Institute, 1-1-1 Yuraku-cho, Chiyoda-ku, Tokyo 100-0006, Japan Kijima Masaaki Faculty of Economics, Tokyo Metropolitan University, 1-1 Minami-Ohsawa, Hachiohji, Tokyo 192-0397, Japan. Journal of Financial and Quantitative Analysis Cambridge University Press 33/3(1998-09), 423-440 0022-1090 33:3<423 1998 33 JFQ https://doi.org/10.2307/2331103 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331103 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Inui Koji Financial Research Department, NLI Research Institute, 1-1-1 Yuraku-cho, Chiyoda-ku, Tokyo 100-0006, Japan NATIONALLICENCE 700 1- Kijima Masaaki Faculty of Economics, Tokyo Metropolitan University, 1-1 Minami-Ohsawa, Hachiohji, Tokyo 192-0397, Japan NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 33/3(1998-09), 423-440 0022-1090 33:3<423 1998 33 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge