On pricing kernels and finite-state variable Heath Jarrow Morton models

Pricing and hedging American fixed-incom

Pricing and hedging American fixed-income derivatives with implied volatility structures in the two-factor Heath–Jarrow–Morton model

✍ Samuel Yau Man Zeto 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 408 KB

## Abstract Most previous empirical studies using the Heath–Jarrow–Morton model (hereafter referred to as the HJM model) have focused on the one‐factor model. In contrast, this study implements the Das (1999) two‐factor Poisson–Gaussian version of the HJM model that incorporates a jump component as