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| Model Risk Analysis for Bond Options in a Heath Jarrow Morton (HJM) Model Analytical expression of risks associated with the HJM model, and implications for hedging and risk management. | |
| Asymptotic Maturity Behavior of Single Factor Heath-Jarrow-Morton Term Structure Models Analysis by Andrew Jeffrey of the Yale School of Mangement. | ||
| Empirical Examination of a Path-Dependent Term Structure Model Analysis of predictive capabilities of various path-dependent interest rate models, using Federal Reserve policy changes as a measure. | ||
| A Representation for a Class of Path-Dependent Term Structure Models Analysis and extension of the Heath-Jarrow-Morton interest rate model by Andrew Jeffrey of the Yale School of Management. | ||
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