Rutkowski, Marek - In: Applied Mathematical Finance 6 (1999) 1, pp. 29-60
The backward induction approach is systematically used to produce various models of forward market rates. These include the lognormal model of forward Libor rates examined by Miltersen et al. and Brace et al., as well as the lognormal model of (fixed-maturity) forward swap rates, which was...