Who were solved out stochastic spot rate models problem
Who were solved out stochastic spot rate models problem?
Expert
In 1997 Brace, Gatarek and Musiela, the HJM interest rate model had addressed the major problem with stochastic spot rate models, but others of that ilk, it even had two major drawbacks. This needed the existence of a spot rate and this assumed a continuous distribution of forward rates.
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