| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5069779 | Finance Research Letters | 2010 | 6 Pages |
Abstract
This note shows how to hedge in a HJMÂ model when the term structure evolution is Markov in the entire forward rate curve.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Robert A. Jarrow,