Hedging in a HJM model

Robert Jarrow ()

Finance Research Letters, 2010, vol. 7, issue 1, 8-13

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

Keywords: HJM; Hedging; Term; structure; models; Bond; prices (search for similar items in EconPapers)
Date: 2010
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