An implementation of the HJM model with application to Japanese interest futures
| Autor: | Kamizono, Kenji, Kariya, Takeaki |
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| Zdroj: | Financial Engineering and the Japanese Markets; July 1996, Vol. 3 Issue: 2 p151-170, 20p |
| Abstrakt: | In this paper, we propose a new specification of the forward rate model of Heath, Jarrow and Morton [5] and apply it to the Japanese 3 month interest rate futures. Our empirical result shows that the model we propose can capture the forward interest rate movement. |
| Databáze: | Supplemental Index |
| Externí odkaz: |
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