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.
@article{bwmeta1.element.bwnjournal-article-zmv27i4p411bwm,
author = {Piotr Sztuba},
title = {Pricing Polish three-year bonds in the HJM framework},
journal = {Applicationes Mathematicae},
volume = {27},
year = {2000},
pages = {411-417},
zbl = {1050.91517},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-zmv27i4p411bwm}
}
Sztuba, Piotr. Pricing Polish three-year bonds in the HJM framework. Applicationes Mathematicae, Tome 27 (2000) pp. 411-417. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-zmv27i4p411bwm/
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