A Note on Real-World and Risk-Neutral Dynamics for Heath-Jarrow-Morton Frameworks

25 Jul 2017 Criens David

As a consequence of the financial crises, risk management became more important and real-world dynamics of interest-rate models moved into the focus of interest. Since risk-neutral dynamics are classically important to compute prices of financial derivatives, it is interesting when real-world dynamics can be related to risk-neutral dynamics via an equivalent change of measures... (read more)

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