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

DOI10.1080/13504869600000012MaRDI QIDQ4342181zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• A characterization of hedging portfolios for interest rate contingent claims.
• HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets
• Stochastic volatility Gaussian Heath-Jarrow-Morton models
• scientific article; zbMATH DE number 1055921

Cites work

• scientific article; zbMATH DE number 1222800 (Why is no real title available?)
• scientific article; zbMATH DE number 1222801 (Why is no real title available?)
• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• A simplified exposition of the health, Jarrow and Morton model
• A theory of the term structure of interest rates
• ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
• An arbitrage theory of the term structure of interest rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Changes of numéraire, changes of probability measure and option pricing
• Delta, gamma and bucket hedging of interest rate derivatives
• FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
• General framework for pricing derivative securities
• Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
• Option and Futures Evaluation With Deterministic Volatilities¹
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• Pricing interest-rate-derivative securities
• The pricing of the American option
• Towards a general theory of bond markets
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• Variational inequalities and the pricing of American options
• WHEN IS THE SHORT RATE MARKOVIAN?

Cited in

(8)

• A finite volume approach for contingent claims valuation
• 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
• scientific article; zbMATH DE number 852300 (Why is no real title available?)

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