An implementation of the HJM model with application to Japanese interest futures

DOI10.1007/BF00868084zbMath1153.91792MaRDI QIDQ1000404

Kenji Kamizono, Takeaki Kariya

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

zbMATH Keywords

term structure of interest ratesHJM modelno-arbitrageinterest futures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis

Cites Work

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• Quantitative methods for portfolio analysis. MTV model approach
• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure

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