Pricing and Hedging of Contingent Claims in Term Structure Models with Exogenous Issuing of New Bonds
针对HJM模型因债券到期而消亡的问题，本文扩展模型使其在任意时间范围内保持恒定到期期限结构，并在此框架下研究或有权益的定价与对冲。
If calibrated to an observed term structure of interest rates that only covers a finite range of times‐to‐maturity an HJM‐model of the term structure of interest rates will eventually die out in finite time as bonds reach maturity. This poses problems for the pricing and hedging of certain contingent claims. Therefore, we extend the HJM‐model in such a way that it lives on an arbitrary time horizon and possesses term structures that cover a constant finite interval of times‐to‐maturity. We consider the pricing and hedging of contingent claims in this framework.