A note on the Flesaker-Hughston model of the term structure of interest rates

DOI10.1080/135048697334782zbMath1009.91020OpenAlexW1975349079MaRDI QIDQ4541544

Marek Rutkowski

Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048697334782

zbMATH Keywords

capsterm structureswaptions

Mathematics Subject Classification ID

Related Items (14)

THE AFFINE RATIONAL POTENTIAL MODEL ⋮ THE MULTI-CURVE POTENTIAL MODEL ⋮ LÉVY–VASICEK MODELS AND THE LONG-BOND RETURN PROCESS ⋮ A joint stock and bond market based on the hyperbolic Gaussian model ⋮ Rational Models for Inflation-Linked Derivatives ⋮ SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST ⋮ Entropy and information in the interest rate term structure ⋮ A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING ⋮ Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase ⋮ Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk ⋮ GENERAL ANALYSIS OF LONG-TERM INTEREST RATES ⋮ Rational multi-curve models with counterparty-risk valuation adjustments ⋮ COHERENT CHAOS INTEREST-RATE MODELS ⋮ Rational term structure models with geometric Lévy martingales

Cites Work

• Calcul stochastique et problèmes de martingales
• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• The Market Model of Interest Rate Dynamics
• Bond, futures and option evaluation in the quadratic interest rate model

This page was built for publication: A note on the Flesaker-Hughston model of the term structure of interest rates