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

DOI10.1080/13504869600000012zbMATH Open0879.90033OpenAlexW2013173708MaRDI QIDQ4342181FDOQ4342181

Authors: 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

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• scientific article; zbMATH DE number 1055921

zbMATH Keywords

arbitrage pricinghedgingterm structure of interest ratesinterest rate derivativesbond optionEuropean contingent claims

Mathematics Subject Classification ID

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

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
• Pricing Interest-Rate-Derivative Securities
• Variational inequalities and the pricing of American options
• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• Changes of numéraire, changes of probability measure and option pricing
• Option and Futures Evaluation With Deterministic Volatilities¹
• The pricing of the American option
• General framework for pricing derivative securities
• Towards a general theory of bond markets
• Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
• ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• Delta, gamma and bucket hedging of interest rate derivatives
• WHEN IS THE SHORT RATE MARKOVIAN?
• Title not available (Why is that?)
• A simplified exposition of the health, Jarrow and Morton model
• An arbitrage theory of the term structure of interest rates
• FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
• Title not available (Why is that?)

Cited In (8)

• HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets
• A noisy principal component analysis for forward rate curves
• Hedging of contingent claims written on non traded assets under Markov-modulated models
• The Dynamicq-Valuation of a Contingent Claim in a Continuous Market Model
• A characterization of hedging portfolios for interest rate contingent claims.
• Pricing and hedging contingent claims using variance and higher order moment swaps
• Title not available (Why is that?)
• A finite volume approach for contingent claims valuation

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