Lognormality of rates and term structure models

DOI10.1080/07362990008809676zbMATH Open0962.91037OpenAlexW2086780516MaRDI QIDQ4487014FDOQ4487014

Author name not available (Why is that?)

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

Recommendations

• A note on pricing interest rate derivatives when forward LIBOR rates are lognormal
• A multicurrency extension of the lognormal interest rate market models
• Explosive behavior in a log-normal interest rate model
• A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
• A Nonlinear Model of the Term Structure of Interest Rates

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)

Cites Work

• 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
• An equilibrium characterization of the term structure
• Title not available (Why is that?)
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• LIBOR and swap market models and measures
• The Market Model of Interest Rate Dynamics
• Option and Futures Evaluation With Deterministic Volatilities¹
• A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
• Continuous-time term structure models: Forward measure approach
• An arbitrage theory of the term structure of interest rates
• The Pricing of Options With an Uncertain Interest Rate: A Discrete‐Time Approach¹

Cited In (21)

• An arbitrage theory of the term structure of interest rates
• Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model
• A stochastic control problem with delay arising in a pension fund model
• The Term Structure of Simple Forward Rates with Jump Risk
• Explosive Behavior in the Black–Derman–Toy Model
• Second order parabolic Hamilton-Jacobi-Bellman equations in Hilbert spaces and stochastic control: \(L^{2}_{\mu}\) approach
• Black's consol rate conjecture
• A multicurrency extension of the lognormal interest rate market models
• A class of arbitrage-free log-normal-short-rate two-factor models
• Valuation of caps and swaptions under a stochastic string model
• Title not available (Why is that?)
• MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
• Pricing of defaultable bonds with log-normal spread: development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
• Estimation and prediction of a 2D lognormal diffusion random field
• Title not available (Why is that?)
• Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations
• A note on the Flesaker-Hughston model of the term structure of interest rates
• A model of the term structure of interest rates based on Lévy fields
• Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting
• Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
• An elementary introduction to stochastic interest rate modeling.

This page was built for publication: Lognormality of rates and term structure models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4487014)