The Black-Karasinski Model: Thirty Years On

C. Turfus. The Black-Karasinski Model: Thirty Years On. Wilmott Magazine, September, 2021

9 Pages Posted: 19 Apr 2021 Last revised: 15 Nov 2021

See all articles by Colin Turfus

Colin Turfus

Deutsche Bank

Piotr Karasinski

European Bank for Reconstruction and Development (EBRD)

Date Written: April 15, 2021

Abstract

This year marks the thirtieth anniversary of the publication of the seminal short rate model of Black and Karasinski [1991]. We look back over the early career of its co-originator Piotr Karasinski and record his story of how the model came to be developed, going on to review the impact it had subsequently, and the reasons behind the revival of interest which has been evident in recent years.

Keywords: short rate model, credit model, Black-Karasinski, perturbation methods, asymptotic expansion, analytic solution, correlation risk

Suggested Citation

Turfus, Colin and Karasinski, Piotr, The Black-Karasinski Model: Thirty Years On (April 15, 2021). C. Turfus. The Black-Karasinski Model: Thirty Years On. Wilmott Magazine, September, 2021, Available at SSRN: https://ssrn.com/abstract=3827452 or http://dx.doi.org/10.2139/ssrn.3827452

Colin Turfus (Contact Author)

Deutsche Bank ( email )

Winchester House
1 Great Winchester Street
London, EC2N 2DB
United Kingdom

Piotr Karasinski

European Bank for Reconstruction and Development (EBRD) ( email )

One Exchange Square
London, EC2A 2EH
United Kingdom

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