Explosive Behavior in the Black–Derman–Toy Model (Q3459746): Difference between revisions

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+The Market Model of Interest Rate Dynamics
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+Normal rank
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+Lognormality of rates and term structure models
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+Normal rank
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+LIBOR and swap market models and measures
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+Phase transition in a log-normal Markov functional model
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+EXPLOSIVE BEHAVIOR IN A LOG-NORMAL INTEREST RATE MODEL
+Normal rank
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+The logistic-normal integral and its generalizations
+Normal rank
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+Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model
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+A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
+Normal rank