We build a no-arbitrage model of the term structure of interest rates using two stochastic factors, the short-term interest rate and the premium of the futures rate over the short-term interest rate. The model provides and extension of the lognormal interest rate model of Black and Karasinski...

We build a no-arbitrage model of the term structure, using two stochastic factors on each date, the short-term interest rate and the forward premium. The model is essentially an extension to two factors of the lognormal interest rate model of Black-Karazinski. It allows for mean reversion in the...

We build a three-factor term-structure of interest rates model and use it to price corporate bonds. The first two factors allow the risk-free term structure to shift and tilt. The third factor generates a stochastic credit-risk premium. To implement the model, we apply the Peterson and Stapleton...

We propose a multifactor model in which the spot rate, LIBOR, follows a lognormal process, with a stochastic conditional mean, under the risk-neutral measure. In addition to the spot rate factor, the second factor is related to the premium of the first futures rate over the spot LIBOR....

Investors choosing a portfolio strategy, in order to secure a pension at a future date, are faced with many uncertainties. One major uncertainty, is the amount by which their pension fund will be supplemented by personal savings from a variety of sources such as future labor income, bequests, or...

We build a multi-factor, no-arbitrage model of the term structure of interest rates. The stochastic factors are the short-term interest rate and the premia of the futures rates over the short-term interest rate. In the three-factor version of the model, for example, the first factor is the...

We build a no-arbitrage model of the term structure of interest rates using two stochastic factors, the short-term interest rate and the premium of the futures rate over the short-term interest rate. The model provides an extension of the lognormal interest rate model of Black and Karasinski...

We build a no-arbitrage model of the term structure, using two stochastic factors on each date, the short-term interest rate and the premium of the forward rate over the short-term interest rate. The model can be regarded as an extension to two factors of the lognormal interest rate model of...