Geodesic
Interest rate models
Mathematica Applicanda, Tome 30 (2002) no. 44/03, pp. 52-70.

Voir la notice de l'article provenant de la source Annales Societatis Mathematicae Polonae Series

This is a well-written survey paper on post-Heath-Jarrow-Morton interest rate models. The bond pricing and term structure are based on time-dependent continuous-time diffusions, and the main particular cases, including LIBOR and SWAP, are studied in detail.
DOI : 10.14708/ma.v30i44/03.1901
Classification : 91B28 (60J60)
Mots-clés : Finance, portfolios, investment, Diffusion processes 
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Andrzej Palczewski. Interest rate models. Mathematica Applicanda, Tome 30 (2002) no. 44/03, pp.  52-70. doi : 10.14708/ma.v30i44/03.1901. http://geodesic.mathdoc.fr/articles/10.14708/ma.v30i44/03.1901/

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