Template-Type:ReDIF-Paper 1.0  
Title:Pricing and Hedging of Contingent Claims in Term Structure Models with Exogenous Issuing of New
	Bonds 
Author-Name:Sommer, Daniel
Classification-JEL:G12, G13, E43
Keywords: Term Structure of Interest Rates, Issuing of Long Term Bonds, Incomplete Markets, Minimal
	Martingale Measure, Option Pricing
Abstract: 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.
Length: pages
Creation-Date: 1997-01
Revision-Date: 
Handle: RePEc:bon:bonsfb:397