Abstract
Central banks issue often many kinds of bonds to guide their benchmark interest rates. Their market data are thought of to reflect current state of the countries financial system. Then at least how much data is needed? Based on the framework of HJM model, We prove that the amount of the data needed is related to the form of the volatility function of forward rates, and then the initial forward rate curve is not essential.
This project was supported by National Natural Science Foundation of China.
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Lu, G., Hu, Q. (2003). Market-Based Interest Rates: Deterministic Volatility Case. In: Sloot, P.M.A., Abramson, D., Bogdanov, A.V., Gorbachev, Y.E., Dongarra, J.J., Zomaya, A.Y. (eds) Computational Science — ICCS 2003. ICCS 2003. Lecture Notes in Computer Science, vol 2658. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-44862-4_4
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DOI: https://doi.org/10.1007/3-540-44862-4_4
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