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This chapter explores the application of the Heath–Jarrow–Morton (HJM) framework to a diverse set of advanced derivative instruments. We begin by examining the valuation of Range Notes using an HJM tree, highlighting how interest rate dynamics can be captured and modeled through lattice methods.

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Range Notes Using a Heath–Jarrow–Morton (HJM) Tree, CDS, Quanto, and Currency Swaps

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  • 发表日期：

    2025年

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  • Aaron De La Rosa

摘要

This chapter explores the application of the Heath–Jarrow–Morton (HJM) framework to a diverse set of advanced derivative instruments. We begin by examining the valuation of Range Notes using an HJM tree, highlighting how interest rate dynamics can be captured and modeled through lattice methods.