Lognormality of rates and term structure models
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Publication:4487014
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
invariant measurestochastic PDEerm structure of interest ratesHealth-Jackow-motion modellognormal volatility structure
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Cites Work
- 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
- Unnamed Item
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