EXPLOSIVE BEHAVIOR IN A LOG-NORMAL INTEREST RATE MODEL

DOI10.1142/S0219024913500234zbMath1271.91105arXiv1104.0322MaRDI QIDQ2842536

Dan Pirjol

Publication date: 15 August 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.0322

zbMATH Keywords

short rate modelslog-normal interest rate modelsMarkov functional model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

Explosive Behavior in the Black–Derman–Toy Model ⋮ Eurodollar futures pricing in log-normal interest rate models in discrete time ⋮ Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model

Uses Software

• Mathematica

Cites Work

• Unnamed Item
• Moment explosion in the LIBOR market model
• Interest rate models -- theory and practice. With smile, inflation and credit
• LIBOR and swap market models and measures
• Arbitrage-free discretization of lognormal forward Libor and swap rate models
• MARKOV MARKET MODEL CONSISTENT WITH CAP SMILE
• A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
• The Market Model of Interest Rate Dynamics
• Phase transition in a log-normal Markov functional model
• Markov-functional interest rate models

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