Implementing the HJM model by Monte Carlo Simulation
نویسنده
چکیده
We discuss an implementation of the Heath-Jarrow-Morton model for pricing zero-coupon bonds and interest rate options, including caps and floors, by Monte Carlo simulation. Principal component analysis is used to estimate volatilities of the model from historical time series data for forward rates. Models with as many as 10 factors are supported.
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تاریخ انتشار 2011