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An exact solution to the lock-exchange problem, which is a two-layer analogue of the classical dam-break problem, is obtained in the shallow-water (SW) approximation for two immiscible fluids with slightly different densities. The problem is solved by the method of characteristics using analytic expressions for the Riemann invariants. The obtained solution, which represents an inviscid approximation to the high-Reynolds-number limit, is in general discontinuous containing up to three hydraulic jumps which are due to either multivaluedness or instability of the continuous SW solution. Hydraulic jumps are resolved by applying the Rankine-Hugoniot conditions for the SW mass and generalized momentum conservation equations. The latter contains a free parameter $α$ which defines the relative contribution of each layer to the interfacial pressure gradient. We consider a solution for $α=0,$ which corresponds to both layers affecting the interfacial pressure gradient with equal weight coefficients. This solution is compared with the solutions resulting from the application of the classical Benjamin's front condition as well as the circulation conservation condition, which correspond to $α=-1$ and $α\rightarrow\infty,$ respectively. The SW solution reproduces all principal features of 2D numerical solution for viscous fluids. The gravity current speed is found to agree well with experimental and numerical results when the front acquires the largest stable height which occurs at $α=\sqrt{5}-2.$ We show that two-layer SW equations for the mass and generalized momentum conservation can describe interfacial waves containing hydraulic jumps in a self-contained way without external closure conditions.