K. Ilinski: Key results in financial economics

Explicit solution of Salomon Brothers short-term interest rate model (log-normal rates)

Another step towards exact solution of Black-Karasinski model, the most popular short-term interest rate model. Example of fruitful application of methods of  functional ingerals of Quantum Field Theory to financial modeling. New member of the family of exactly solvable practical interest rate models, which already included models by Ho-Lee (norm rates), Vasicek (normal rates + mean reversion), CIR (strange diffusion + mean reversion).

Kirill Ilinski, Section 4.3 of Chapter 10, “Physics of Finance”, John Wiley & Sons 2001

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