I am looking for a source that possibly has the proofs for the material in the first paper on the HJM model Heath, David, et al. “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation.” Econometrica, vol. 60, no. 1, 1992, pp. 77–105. JSTOR, www.jstor.org/stable/2951677.(https://www.jstor.org/stable/pdf/2951677.pdf?refreqid=excelsior%3Ad6600db7b198f67b597605b247af4c8f). The authors skip some of the proofs. I have found some books that covers some of the proofs but its done only for specific cases and is not as general as this paper. Any suggestions?

  • $\begingroup$ You need to be more specific, for example, the proof for which part is missing etc. People can not write an essay here to rephrase the whole paper. $\endgroup$
    – Gordon
    Commented Oct 30, 2019 at 14:01
  • $\begingroup$ @Gordon I understand that. This is a reference request. If no such book or source exists with all the proofs I will post a new question requesting proofs for a particular problem. Thank you. $\endgroup$
    – Heisenberg
    Commented Oct 30, 2019 at 14:07
  • $\begingroup$ You may have a look of this book. $\endgroup$
    – Gordon
    Commented Oct 30, 2019 at 14:10
  • $\begingroup$ @Gordon. I have and it is a good source. However, it assumes that the volatility term $\sigma$ is bounded for simplicity. In the paper this is not assumed which makes proving certain things more complicated. (Ex: when proving the discounted bond price is a martingale) $\endgroup$
    – Heisenberg
    Commented Oct 30, 2019 at 14:13


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