Goldys, B.; Musiela, M.; Sondermann, D. - University of Bonn, Germany - 1996
A term structure model with lognormal type volatility structure is proposed. The Heath, Jarrow and Morton (HJM … rates are well defined (they do not explode) and remain positive. They are bounded from below and above by lognormal … by Sandmann and Sondermann (1993), (1994) for Markovian lognormal short rates to (non-Markovian) lognormal forward rates. …