An implementation of the HJM model with application to Japanese interest futures
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Cites work
- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Implied volatility functions in arbitrage-free term structure models.
- Quantitative methods for portfolio analysis. MTV model approach
Cited in
(8)- An extensive analysis on the Japanese markets via S. Taylor's model
- Quality options and hedging in Japanese government bond futures markets
- Pricing models of foreign bond futures options under Heath-Jarrow-Morton framework
- An easy method to price quanto forward contracts in the HJM model with stochastic interest rates
- Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis
- scientific article; zbMATH DE number 2226684 (Why is no real title available?)
- Pricing forward-start options in the HJM framework; evidence from the Polish market
- On Gaussian HJM framework for Eurodollar futures
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