NO-ARBITRAGE IN HEATH-JARROW-MORTON MODEL AND THE BOND PRICING EQUATION

DOI10.12732/ijam.v29i5.6zbMath1409.91230OpenAlexW2586200710MaRDI QIDQ2981087

M. M. Chawla

Publication date: 8 May 2017

Published in: International Journal of Apllied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.12732/ijam.v29i5.6

zbMATH Keywords

Heath-Jarrow-Morton modelshort rate modelsno-arbitrageforward ratebond pricing equation

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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