Francois-Éric Racicot () (Département des sciences administratives, Université du Québec (Outaouais) et LRSP) Raymond Théoret () (Département de stratégie des affaires, Université du Québec (Montréal))
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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 exhaustive elaboration of the developments of these models. Finally, we discuss the evolution of these models towards the pricing of more complex structured derivatives, like TARN and we also briefly analyse more advanced versions like the SV Cheyette model.
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Paper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number
UQO-DSA-wp042006.
Length: 39 pages Date of creation: 03 Jan 2006 Date of revision: Handle: RePEc:pqs:wpaper:042006
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