Hedging in a HJM model
This note shows how to hedge in a HJMÂ model when the term structure evolution is Markov in the entire forward rate curve.
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Article provided by Elsevier in its journal Finance Research Letters
Volume (Year): 7 (2010)Handle:
Issue (Month): 1 (March)
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Web page: http://www.elsevier.com/locate/frl
Related researchKeywords: HJM Hedging Term structure models Bond prices
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- Heath, David & Jarrow, Robert & Morton, Andrew, 1992.
"Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation,"
Econometric Society, vol. 60(1), pages 77-105, January.
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