A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures

DOI10.1111/1467-9965.00027zbMATH Open0884.90049OpenAlexW1537005355MaRDI QIDQ4372045FDOQ4372045

Authors: Klaus Sandmann, Dieter Sondermann 

Publication date: 21 January 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00027

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zbMATH Keywords

Eurodollar futuresterm structure modelslognormal interest rate

Mathematics Subject Classification ID

Cited In (21)

• ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET
• A model for pricing real estate derivatives with stochastic interest rates
• Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model
• On Gaussian HJM framework for Eurodollar futures
• A multicurrency extension of the lognormal interest rate market models
• Eurodollar futures pricing in log-normal interest rate models in discrete time
• Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model
• Valuation of caps and swaptions under a stochastic string model
• Explosion in the quasi-Gaussian HJM model
• Geometric price of lognormal distribution
• Lognormality of rates and term structure models
• Pricing of defaultable bonds with log-normal spread: development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
• Generating interest rate scenarios for bank asset liability management
• AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
• HOW DOES THE EURODOLLAR INTEREST RATE BEHAVE?
• MATHEMATICAL PSEUDO-COMPLETION OF THE BGM MODEL
• Explosive behavior in a log-normal interest rate model
• Explosive behavior in the Black-Derman-Toy model
• Term structure modelling of defaultable bonds
• Moment explosions in stochastic volatility models
• Fast strong approximation Monte Carlo schemes for stochastic volatility models

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