Pricing Polish three-year bonds in the HJM framework
Applicationes Mathematicae (2000)
- Volume: 27, Issue: 4, page 411-417
- ISSN: 1233-7234
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topSztuba, Piotr. "Pricing Polish three-year bonds in the HJM framework." Applicationes Mathematicae 27.4 (2000): 411-417. <http://eudml.org/doc/219284>.
@article{Sztuba2000,
abstract = {We show how to use the Gaussian HJM model to price Polish three-year bonds. %A bond issued by A Polish Treasury bond is treated as a risk-free security.},
author = {Sztuba, Piotr},
journal = {Applicationes Mathematicae},
keywords = {term structure of interest rates; hedging},
language = {eng},
number = {4},
pages = {411-417},
title = {Pricing Polish three-year bonds in the HJM framework},
url = {http://eudml.org/doc/219284},
volume = {27},
year = {2000},
}
TY - JOUR
AU - Sztuba, Piotr
TI - Pricing Polish three-year bonds in the HJM framework
JO - Applicationes Mathematicae
PY - 2000
VL - 27
IS - 4
SP - 411
EP - 417
AB - We show how to use the Gaussian HJM model to price Polish three-year bonds. %A bond issued by A Polish Treasury bond is treated as a risk-free security.
LA - eng
KW - term structure of interest rates; hedging
UR - http://eudml.org/doc/219284
ER -
References
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- [2] A. Brace and M. Musiela, A multifactor Gauss Markov implementation of Heath, Jarrow, and Morton, Math. Finance 4 (1994), 259-283. Zbl0884.90016
- [3] D. Heath, R. Jarrow and A. Morton, Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation, Econometrica 60 (1992), 77-105. Zbl0751.90009
- [4] M. Musiela and M. Rutkowski, Continuous-time term structure models: Forward measure approach, Finance Stochast. 1 (1997), 261-291. Zbl0888.60037
- [5] M. Musiela and M. Rutkowski, Martingale Methods in Financial Modeling, Springer, Berlin, 1997. Zbl0906.60001
- [6] A. Weron and R. Weron, Financial Engineering; Derivatives Pricing, Computer Simulations, Market Statistics, WNT, Warszawa, 1998 (in Polish). Zbl1242.01015
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