An Implementation of the HJM Model with Application to Japanese Interest Futures

Kenji Kamizono and Takeaki Kariya

Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

Abstract: In this paper, an empirical implementation of the HJM model is attempted with an application to Japanese interest futures and the self-consistency is tested. Our empirical results show tha the model we specify can be used to price contigent claims on Bond futures traded at the Tokyo International Financial Futures Exchange.

Date: 1995-04
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Persistent link: https://EconPapers.repec.org/RePEc:hit:hituec:a309

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