The Market Model of Interest Rate Dynamics
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Publication:4372046
DOI10.1111/1467-9965.00028zbMath0884.90008OpenAlexW2117202489MaRDI QIDQ4372046
Marek Musiela, Dariusz Gątarek, Alan Brace
Publication date: 1997
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00028
term structure modelsstochastic partial differential equationscapsswaptionsHJM frameworklognormality of rates
Economic time series analysis (91B84) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Auctions, bargaining, bidding and selling, and other market models (91B26)
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