The Market Model of Interest Rate Dynamics
Work
Year: 1997
Type: article
Abstract: A class of term structure models with volatility of lognormal type is analyzed in the general HJM framework. The corresponding market forward rates do not explode, and are positive and mean reverting.... more
Source: Mathematical Finance
Institution UNSW Sydney
Cites: 10
Cited by: 1,195
Related to: 10
FWCI: 42.56
Citation percentile (by year/subfield): 99.97
Subfield: Finance
Domain: Social Sciences
Open Access status: green