An implementation of the HJM model with application to Japanese interest futures
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Publication:1000404
DOI10.1007/BF00868084zbMATH Open1153.91792MaRDI QIDQ1000404FDOQ1000404
Kenji Kamizono, Takeaki Kariya
Publication date: 6 February 2009
Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)
Cites Work
- 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
- Title not available (Why is that?)
- Quantitative methods for portfolio analysis. MTV model approach
- Implied volatility functions in arbitrage-free term structure models.
Cited In (6)
- An extensive analysis on the Japanese markets via S. Taylor's model
- Quality options and hedging in Japanese government bond futures markets
- Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis
- Title not available (Why is that?)
- Pricing models of foreign bond futures options under Heath-Jarrow-Morton framework
- Pricing forward-start options in the HJM framework; evidence from the Polish market
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