A
Alan Brace
Researcher at Citibank
Publications - 3
Citations - 1298
Alan Brace is an academic researcher from Citibank. The author has contributed to research in topics: Forward rate & Swaption. The author has an hindex of 2, co-authored 2 publications receiving 1258 citations.
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The Market Model of Interest Rate Dynamics
TL;DR: In this paper, a class of term structure models with volatility of lognormal type is analyzed in the general HJM framework, and a two-factor version of the model is calibrated to the U.K. market price of caps and swaptions and to the historically estimated correlation between the forward rates.
Journal ArticleDOI
A multifactor gauss markov implementation of heath, jarrow, and morton
Alan Brace,Marek Musiela +1 more
TL;DR: In this paper, a useful multifactor Gauss-Markov model for the movement of the whole yield curve is derived within the Heath-Jarrow-Morton framework and using the theory of stochastic equations in infinite dimensions.