Pricing Polish three-year bonds in the HJM framework

• Autorzy: Piotr Sztuba
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

term structure of interest rates; hedging

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2000
• Tom: 27
• Numer: 4
• Strony: 411-417

Daty

wydano

2000

otrzymano

1999-10-07

poprawiono

2000-01-12

Twórcy

autor

Piotr Sztuba

• Institute of Mathematics, Wrocław University of Technology, 50-370 Wrocław, Poland

Bibliografia

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• [3] D. Heath, R. Jarrow and A. Morton, Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation, Econometrica 60 (1992), 77-105.
• [4] M. Musiela and M. Rutkowski, Continuous-time term structure models: Forward measure approach, Finance Stochast. 1 (1997), 261-291.
• [5] M. Musiela and M. Rutkowski, Martingale Methods in Financial Modeling, Springer, Berlin, 1997.
• [6] A. Weron and R. Weron, Financial Engineering; Derivatives Pricing, Computer Simulations, Market Statistics, WNT, Warszawa, 1998 (in Polish).