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QFsurvival
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Joined: September 11th, 2008, 8:57 am

Paper on Markov functional model

January 13th, 2009, 5:28 am

Hi guys, I am looking for the famous paper "Markov Functional Interest Rate Model." written by Hunt and Kennedy in 2000. I have tried many times to obtain it from google, but no free source available. Anyone can kindly provide that to me? Or can anyone explain to me how this model works? I got a piece of words claim that principal of markov functional model is to use some kind of low dimensional markov functional form to model any variables. Only measure need to take to exlude arbitrage is just to calibrate to the market rate and volatility? It sounds an interesting model but also confused me. Can someone help please. Many thanks.
 
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Clopinette
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Paper on Markov functional model

January 13th, 2009, 11:05 am

It is available there:http://papers.ssrn.com/sol3/papers.cfm? ... _id=49240I believe it is the one you want or at least very similar (dated Oct 1999)
 
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QFsurvival
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Paper on Markov functional model

January 13th, 2009, 1:52 pm

Thanks