Lognormality of rates and term structure models

Stochastic Analysis and Applications

Volumn 18, Issue 3, 2000, Pages 375-396

  Goldys, B ^a   Musiela, M ^a   Sondermann, D ^b  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

^b UNIVERSITY OF BONN   (Germany)

Author keywords

Heath, Jarrow and Morton models; Invariant measures; Lognormal volatility structure; Stochastic PDE's; Term structure of interest rates

Indexed keywords

EID: 0034340929     PISSN: 07362994     EISSN: None     Source Type: Journal    
DOI: 10.1080/07362990008809676     Document Type: Article

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