Racicot, Francois-Éric; Théoret, Raymond - Départment des sciences administratives, Université … - 2006
In this paper, we study the following models : Heath-Jarrow-Morton (1992) and Libor-Market- Model, also known as Brace-Gatarek-Musiela model (1997). We survey the extensions of these models and their representation in the Black and Scholes world. Our approach is pedagogical and is based on an...
