Pricing Polish three-year bonds in the HJM framework

Volume 27 / 2000

Piotr Sztuba Applicationes Mathematicae 27 (2000), 411-417 DOI: 10.4064/am-27-4-411-417

Abstract

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.

Authors

  • Piotr Sztuba

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