Hedging in a HJM model

This note shows how to hedge in a HJMÂ model when the term structure evolution is Markov in the entire forward rate curve.

Year of publication:	2010
Authors:	Jarrow, Robert A.
Published in:	Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 7.2010, 1, p. 8-13
Publisher:	Elsevier
Keywords:	HJM Hedging Term structure models Bond prices

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008499384