The Black‐Karasinski Model: Thirty Years On. Issue 115 (23rd September 2021) - Turfus, Colin
Abstract : This year marks the 30th anniversary of the publication on the seminal short‐rate model of Black and Karasinski (1991). Colin Turfus looks back over the early career of its co‐originator Piotr Karasinski and records his story of how the model came to be developed, going on to review the impact it had subsequently, and reasons behind the revival of interest which has been evident in recent years.