An implementation of the HJM model with application to Japanese interest futures (Q1000404)
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scientific article; zbMATH DE number 5503446
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| English | An implementation of the HJM model with application to Japanese interest futures |
scientific article; zbMATH DE number 5503446 |
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An implementation of the HJM model with application to Japanese interest futures (English)
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6 February 2009
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HJM model
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no-arbitrage
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term structure of interest rates
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interest futures
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0.7968947887420654
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0.7921128869056702
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0.7921128869056702
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0.7882046103477478
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0.788204550743103
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