A note on the Flesaker-Hughston model of the term structure of interest rates

Marek Rutkowski

Applied Mathematical Finance, 1997, vol. 4, issue 3, 151-163

Abstract: 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.

Keywords: Swaption; Term Structure Of Interest Rates; Zero-coupon Bond (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (15)

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DOI: 10.1080/135048697334782

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