An Implementation of the HJM Model with Application to Japanese Interest Futures

In this paper, an empirical implementation of the HJM model is attempted with an application to Japanese interest futures and the self-consistency is tested. Our empirical results show tha the model we specify can be used to price contigent claims on Bond futures traded at the Tokyo International Financial Futures Exchange.

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Year of publication:	1995-04
Authors:	Kamizono, Kenji ; Kariya, Takeaki
Institutions:	Institute of Economic Research, Hitotsubashi University

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Series:	Discussion Paper Series.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005574160