Geodesic
Pricing Polish three-year bonds in the HJM framework
Applicationes Mathematicae, Tome 27 (2000) no. 4, pp. 411-417

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DOI Zbl  

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.
DOI : 10.4064/am-27-4-411-417
Keywords: term structure of interest rates, hedging 
Piotr Sztuba. Pricing Polish three-year bonds in the HJM framework. Applicationes Mathematicae, Tome 27 (2000) no. 4, pp. 411-417. doi: 10.4064/am-27-4-411-417
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     title = {Pricing {Polish} three-year bonds in the {HJM} framework},
     journal = {Applicationes Mathematicae},
     pages = {411--417},
     year = {2000},
     volume = {27},
     number = {4},
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     zbl = {1050.91517},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.4064/am-27-4-411-417/}
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