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Knowledge Base » A Specification of the Flesaker-Hughston Term Structure Model

A Specification of the Flesaker-Hughston Term Structure Model

Document ID: 2000-51 (previously 2000/027)
Published on: 1st October 2000
Author: Craig Turnbull

This article has been archived. This note describes the Flesaker & Hughston framework for modelling interest-rates. In particular, we discuss a specification of the model due to Cairns.

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