Bond pricing and the term structure of interest rates

@inproceedings{Heath1989BondPA,
  title={Bond pricing and the term structure of interest rates},
  author={D. Heath and R. Jarrow and A. J. Morton},
  year={1989}
}
  • D. Heath, R. Jarrow, A. J. Morton
  • Published 1989
  • Economics
  • This paper presents a unifying theory for valuing contingent claims under a stochastic term structure of interest rates. The methodology, based on the equivalent martingale measure technique, takes as given an initial forward rate curve and a family of potential stochastic processes for its subsequent movements. A no-arbitrage condition restricts this family of processes, yielding valuation formula for interest rate sensitive contingent claims that do not explicitly depend on the market prices… CONTINUE READING
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