4. The HJM Methodology Revisited

msra（2001）

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摘要

Contents. 4.1 Term Structure Movements 4.2 The Musiela Parametrization 4.3 Arbitrage-free Term Structure Movements 4.4 Contingent Claim Valuation 4.4.1 When Is Z(·, T)Z(\cdot, T) a True \mathbbQ\mathbb{Q} -Martingale? 4.4.2 The Forward Measure 4.4.3 Forward LIBOR Rates 4.4.4 Caps 4.5 What Is a Model?

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