Lognormality of rates and term structure models
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Cites work
- scientific article; zbMATH DE number 48952 (Why is no real title available?)
- A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
- A theory of the term structure of interest rates
- An arbitrage theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Continuous-time term structure models: Forward measure approach
- LIBOR and swap market models and measures
- Option and Futures Evaluation With Deterministic Volatilities1
- THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
- The Market Model of Interest Rate Dynamics
- The Pricing of Options With an Uncertain Interest Rate: A Discrete‐Time Approach1
Cited in
(31)- An arbitrage theory of the term structure of interest rates
- A stochastic control problem with delay arising in a pension fund model
- Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model
- The Term Structure of Simple Forward Rates with Jump Risk
- Second order parabolic Hamilton-Jacobi-Bellman equations in Hilbert spaces and stochastic control: \(L^{2}_{\mu}\) approach
- Term Structure Models with Parallel and Proportional Shifts
- Sensitivity with respect to the yield curve: duration in a stochastic setting
- Black's consol rate conjecture
- The stochastic string model as a unifying theory of the term structure of interest rates
- Log-gamma motion as flexible model for generalized interest rates
- A multicurrency extension of the lognormal interest rate market models
- An implementation of the HJM model with application to Japanese interest futures
- A class of arbitrage-free log-normal-short-rate two-factor models
- Modeling the term structure of forward rate curve by wave-typed SPDEs
- Valuation of caps and swaptions under a stochastic string model
- MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
- scientific article; zbMATH DE number 2226684 (Why is no real title available?)
- Term structure modeling with overnight rates beyond stochastic continuity
- 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
- scientific article; zbMATH DE number 1507175 (Why is no real title available?)
- Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations
- Consistent parallel and proportional shifts in the term structure of futures prices
- Term structure models driven by Wiener processes and Poisson measures: existence and positivity
- 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
- Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
- Explosive behavior in a log-normal interest rate model
- An elementary introduction to stochastic interest rate modeling.
- Explosive behavior in the Black-Derman-Toy model
- A preference free partial differential equation for the term structure of interest rates
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