MARKOV MARKET MODEL CONSISTENT WITH CAP SMILE

DOI10.1142/S0219024900000085zbMath1153.91667OpenAlexW1990008382MaRDI QIDQ3523551

Philippe Balland, Lane P. Hughston

Publication date: 3 September 2008

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

Full work available at URL: https://doi.org/10.1142/s0219024900000085

zbMATH Keywords

market modelsinterest rate term structureBGM modelsHJM theoryimplied libor trees

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Trade models (91B60)

Related Items (3)

Eurodollar futures pricing in log-normal interest rate models in discrete time ⋮ EXPLOSIVE BEHAVIOR IN A LOG-NORMAL INTEREST RATE MODEL ⋮ Phase transition in a log-normal Markov functional model

Cites Work

• LIBOR and swap market models and measures
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Market Model of Interest Rate Dynamics

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