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ArticleOriginal scientific text

Title

Pricing Polish three-year bonds in the HJM framework

Authors 1

Affiliations

  1. Institute of Mathematics, Wrocław University of Technology, 50-370 Wrocław, Poland

Abstract

We show how to use the Gaussian HJM model to price Polish three-year bonds. %A bond issued by A Polish Treasury bond is treated as a risk-free security.

Keywords

ENG
term structure of interest rates, hedging

Bibliography

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Applicationes Mathematicae
2000/27/4
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Pages:
411-417
Main language of publication
English
Received
1999-10-07
Accepted
2000-01-12
Published
2000
Exact and natural sciences