Multiperiod Binomial HJM Model

Robert Jarrow () and Arkadev Chatterjea

Chapter 24 in An Introduction to Derivative Securities, Financial Markets, and Risk Management, 2024, pp 588-613 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionThe AssumptionsThe Two-Period ModelArbitrage-Free EvolutionsZero-Coupon Bond Prices and MartingalesCaplet PricingFloorlet PricingValuing Various Interest Rate DerivativesMultiple FactorsThe Multiperiod ModelForwards, Futures, and SwaptionsForward Rate AgreementsInterest Rate FuturesComparing Forward and Futures RatesSwaptionsSummaryAppendixLinking the Binomial HJM Model and the HJM Libor ModelCasesQuestions and Problems

Keywords: Derivatives; Financial Markets; Risk Management; Arbitrage; Financial Engineering; Forwards; Futures; Call Options; Put Options; European Options; American Options; Swaps; Currency Swaps; Interest Rate Swaps; Commodity Swaps; Equity Swaps; Credit Default Swaps; Commodity Derivatives; Equity Derivatives; Index Derivatives; Interest Rate Derivatives; Commodities; Margins and Daily Settlements; Binomial Model; Black-Scholes Model; Black-Scholes-Merton Model; Delta Hedging; Gamma Hedging; Heath-Jarrow-Morton Model; Libor Model; Forward Rate Agreements; Interest Rate Futures; Interest Rate Options; Market Manipulation; Regulation; Derivatives Exchanges (search for similar items in EconPapers)
JEL-codes: C58 G1 G10 G13 G2 G20 G32 (search for similar items in EconPapers)
Date: 2024
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