Valuation and hedging of contingent claims in the HJM model with deterministic volatilities

DOI10.1080/13504869600000012zbMath0879.90033OpenAlexW2013173708MaRDI QIDQ4342181

Marek Rutkowski

Publication date: 25 January 1998

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://www.tandf.co.uk/journals/routledge/1350486X.html

zbMATH Keywords

hedgingterm structure of interest ratesarbitrage pricinginterest rate derivativesbond optionEuropean contingent claims

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items

A noisy principal component analysis for forward rate curves

Cites Work

• Unnamed Item
• Unnamed Item
• Variational inequalities and the pricing of American options
• The pricing of the American option
• An arbitrage theory of the term structure of interest rates
• General framework for pricing derivative securities
• Towards a general theory of bond markets
• A Theory of the Term Structure of Interest Rates
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• Option and Futures Evaluation With Deterministic Volatilities¹
• ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• WHEN IS THE SHORT RATE MARKOVIAN?
• Changes of numéraire, changes of probability measure and option pricing
• Delta, gamma and bucket hedging of interest rate derivatives
• A simplified exposition of the health, Jarrow and Morton model
• Pricing Interest-Rate-Derivative Securities