A note on the Flesaker-Hughston model of the term structure of interest rates. (English) Zbl 1009.91020

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


91B28 Finance etc. (MSC2000)
Full Text: DOI


[1] DOI: 10.1111/1467-9965.00028 · Zbl 0884.90008
[2] DOI: 10.1111/j.1467-9965.1994.tb00095.x · Zbl 0884.90016
[3] Brace A., Mathematics of Derivative Securities (1994)
[4] Flesaker B., Risk Magazine 9 pp 46– (1996)
[5] Flesaker B., Vasicek and Beyond pp 351– (1996)
[6] Goldberg L. R., Finance and Stochastics (1996)
[7] Jacod J., Lecture Notes in Math. 714, in: Calcul stochastique et problèmes de martingales (1979) · Zbl 0414.60053
[8] Jamshidian F., Finance and Stochastics (1996) · Zbl 1097.91525
[9] DOI: 10.2307/2329571
[10] Musiela M., Finance and Stochastics (1995)
[11] Musiela M., Arbitrage Pricing. Martingale Methods in Financial Modelling (1997)
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.