The problem of term structure of interest rates modelling is considered in a continuous-time framework. The emphasis is on the bond prices, forward bond prices or LIBOR rates, rather than on the instantaneous rates as in the traditional models. Forward and spot probability measures are...

The problem of term structure of interest rates modelling is considered in a continuous-time framework. The emphasis is on the bond prices, forward bond prices and so-called LIBOR rates, rather than on the instantaneous continuously compounded rates as in most traditional models. Forward and...

pagehe problem of term structure of interest rates modelling is considered in a continuous-time framework. The emphasis is on the bond prices, forward bond prices or LIBOR rates, rather than on the instantaneous rates as in the traditional models. Forward and spot probability measures are...