A note on the stability of lognormal interest rate models and the pricing of eurodollar futures

Mathematical Finance

Volumn 7, Issue 2, 1997, Pages 119-125

  Sandmann, Klaus ^a   Sondermann, Dieter ^b  

^a JOHANNES GUTENBERG UNIVERSITY   (Germany)

^b UNIVERSITY OF BONN   (Germany)

Author keywords

Eurodollar futures; Lognormal interest rate; Term structure models

Indexed keywords

EID: 0031519260     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00027     Document Type: Review

References (12)

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2. BLACK, F., and P. KARASINSKI (1991): "Bond and Option Pricing when Short Rates are Lognormal," Financial Anal. J., 47, 52-59.
3. BRACE, A., D. G A̧TAREK, and M. MUSIELA (1995): "The Market Model of Interest Rate Dynamics," Math. Finance, 7, 127-155.
4. COX, J. C., J. E. INGERSOLL JR., and S. A. ROSS (1981): "The Relation Between Forward Prices and Futures Prices," J. Financial Econ., 9, 321-346.
5. DOTHAN, L. (1978): "On the Term Structure of Interest Rates," J. Financial Econ., 6, 59-69.
6. HEATH, D., R. JARROW, and A. MORTON (1992): "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, 60, 77-105.
7. HOGAN, M., and K. WEINTRAUB (1993): "The Lognormal Interest Rate Model and Eurodollar Futures," Citibank, New York, working paper.
8. MILTERSEN, K. R., K. SANDMANN, and D. SONDERMANN (1995): "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Universität Bonn, working paper B-308. To appear in J. Finance, March 97.
9. MORTON, A. J. (1988): "Arbitrage and Martingales," Technical Report 821, Cornell University, New York.
10. SANDMANN, K., and D. SONDERMANN (1993a): "On the Stability of Lognormal Interest Rate Models," Universität Bonn, working paper B-263.
11. SANDMANN, K., and D. SONDERMANN (1993b): "A Term Structure Model and the Pricing of Interest Rate Options," Rev. Futures Markets, 12(2), 391-423.
12. SANDMANN, K., D. SONDERMANN, and K. R. MILTERSEN (1995): "Closed Form Term Structure Derivatives in a Heath-Jarrow-Morton Model with Log-Normal Annually Compounded Interest Rates," Proceedings of the Seventh Annual European Research Symposium, Bonn, September 1994, Chicago Board of Trade, 145-164.