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.
References listed on IDEAS
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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," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
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