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A Unified Treatment of Derivative Pricing and Forward Decision Problems Within HJM Framework
Title
A Unified Treatment of Derivative Pricing and Forward Decision Problems Within HJM Framework
Author
Zou, Wenhua
Date Created
2012
Description
We study the HJM approach which was originally introduced in the fixed income market by David Heath, Robert Jarrow and Andrew Morton and later was implemented in the case of European option market by Martin Schweizer, Johannes Wissel, Rene Carmona...
A Unified Treatment of Derivative Pricing and Forward Decision Problems Within HJM Framework
Title
A Unified Treatment of Derivative Pricing and Forward Decision Problems Within HJM Framework
Author
Zou, Wenhua
Date Created
2012
Subjects--Topical
Mathematics, Finance
Description
We study the HJM approach which was originally introduced in the fixed income market by David Heath, Robert Jarrow and Andrew Morton and later was implemented in the case of European option market by Martin Schweizer, Johannes Wissel, Rene Carmona...