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

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

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
@article{10_4064_am_27_4_411_417,
     author = {Piotr Sztuba},
     title = {Pricing {Polish} three-year bonds in the {HJM} framework},
     journal = {Applicationes Mathematicae},
     pages = {411--417},
     year = {2000},
     volume = {27},
     number = {4},
     doi = {10.4064/am-27-4-411-417},
     zbl = {1050.91517},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.4064/am-27-4-411-417/}
}
TY  - JOUR
AU  - Piotr Sztuba
TI  - Pricing Polish three-year bonds in the HJM framework
JO  - Applicationes Mathematicae
PY  - 2000
SP  - 411
EP  - 417
VL  - 27
IS  - 4
UR  - http://geodesic.mathdoc.fr/articles/10.4064/am-27-4-411-417/
DO  - 10.4064/am-27-4-411-417
LA  - en
ID  - 10_4064_am_27_4_411_417
ER  - 
%0 Journal Article
%A Piotr Sztuba
%T Pricing Polish three-year bonds in the HJM framework
%J Applicationes Mathematicae
%D 2000
%P 411-417
%V 27
%N 4
%U http://geodesic.mathdoc.fr/articles/10.4064/am-27-4-411-417/
%R 10.4064/am-27-4-411-417
%G en
%F 10_4064_am_27_4_411_417

Cité par Sources :