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A note on the Flesaker-Hughston model of the term structure of interest rates |
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| Authors: | Marek Rutkowski |
| Institution: | Institute of Mathematics, Politechnika Warszawska, 00-661 Warszawa, Poland |
| Abstract: | 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. |
| Keywords: | Swaption Term Structure Of Interest Rates Zero-coupon Bond |