Vialas, Christine; Touzi, Nizar; Aïd, René - Université Paris-Dauphine (Paris IX) - 2012
This paper proposes an Heath-Jarrow-Morton model of the yield curve that can fit the particular requirements of long-term asset and liability management (ALM). In particular, the proposed HJM model can reproduce expected long-term statistical properties of any two interest rates, while still...