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Hedging in a HJM model

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  • Jarrow, Robert A.

Abstract

This note shows how to hedge in a HJMÂ model when the term structure evolution is Markov in the entire forward rate curve.

Suggested Citation

  • Jarrow, Robert A., 2010. "Hedging in a HJM model," Finance Research Letters, Elsevier, vol. 7(1), pages 8-13, March.
    • Handle: RePEc:eee:finlet:v:7:y:2010:i:1:p:8-13
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    References listed on IDEAS

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    1. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
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