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

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.

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Year of publication:	1997
Authors:	Rutkowski, Marek
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 4.1997, 3, p. 151-163
Publisher:	Taylor & Francis Journals
Subject:	Swaption \| Term Structure Of Interest Rates \| Zero-coupon Bond

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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