Lognormality of rates and term structure models

DOI10.1080/07362990008809676zbMath0962.91037OpenAlexW2086780516MaRDI QIDQ4487014

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Publication date: 21 June 2001

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990008809676

zbMATH Keywords

invariant measurestochastic PDEerm structure of interest ratesHealth-Jackow-motion modellognormal volatility structure

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Trade models (91B60)

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Cites Work

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• An arbitrage theory of the term structure of interest rates
• Continuous-time term structure models: Forward measure approach
• LIBOR and swap market models and measures
• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Option and Futures Evaluation With Deterministic Volatilities¹
• The Pricing of Options With an Uncertain Interest Rate: A Discrete‐Time Approach¹
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
• The Market Model of Interest Rate Dynamics
• An equilibrium characterization of the term structure

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