Applied Mathematical Finance · 1997 · 57 citations · 6 references
BusinessEconomicsFinanceAsset PricingFinancial EconomicsFinancial ModelingBond PricingInterest Rate DerivativesInterest Rate ModelingInterest Rate RiskOption PricingOption Pricing ModelsArbitrage-free Term Structure ModelsBond Pricing ModelsCaps ModelingInterest Rate StructureInterest Rate Term StructureZero-coupon Bond IssuanceZero-coupon Bond ModelingZero-coupon Bond Pricing
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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The Market Model of Interest Rate Dynamics
Alan Brace, Dariusz G ̧atarek, Marek Musiela · Mathematical Finance · 1997 · 1.2K citations
LIBOR and swap market models and measures
Farshid Jamshidian · Finance and Stochastics · 1997 · 786 citations · Full text
A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
Alan Brace, Marek Musiela · Mathematical Finance · 1994 · 254 citations
Engineering, Economics, Finance +14