Article1997

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

54 citations0/0 files storedApplied Mathematical Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

Abstract

A term structure model proposed by Flesaker and Hughston (1996a,b) is analysed within the general framework of arbitrage-free term structure modelling. Basic valuation formulae for caps and swaptions are presented.

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References

1997The Market Model of Interest Rate Dynamics 1979Calcul Stochastique et Problèmes de Martingales 1997Martingale Methods in Financial Modelling 1997LIBOR and swap market models and measures 1997Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates 1998Mathematics of Derivative Securities 1994A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON 1997Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates

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