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- W3123440177 abstract "If calibrated to an observed term structure of interest rates that only covers a finite range of times-to-maturity an HJM-model of the term structure of interest rates will eventually die out in finite time as bonds reach maturity. This poses problems for the pricing and hedging of certain contingent claims. Therefore, we extend the HJM-model in such a way that it lives on an arbitrary time horizon and possesses term structures that cover a constant finite interval of times-to-maturity. We consider the pricing and hedging of contingent claims in this framework." @default.
- W3123440177 created "2021-02-01" @default.
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- W3123440177 date "1997-01-01" @default.
- W3123440177 modified "2023-09-27" @default.
- W3123440177 title "Pricing and Hedging of Contingent Claims in Term Structure Models with Exogenous Issuing of New Bonds" @default.
- W3123440177 hasPublicationYear "1997" @default.
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