Some friends recommend to me Linear Gauss Markov model, saying it's interesting to have a look. Basically it's a framework different from HJM, with potential to extend, and the merit is that it's linear, so won't be so interwined as Hull White models, -- or as I was told.

I just did a brief search, it's from Patrick Hagan, there are several his papers,

• "Markov Interest Rate Models", 1999, about the model, and
• "Methodology for Callable Swaps and Bermudan Exercise Into Swaptions", 2004
• "Accrual Swaps and Rangge Notes", 2005, about the calibration

But besides that seems LGM was not so popular in other sources. For example, Damiano Brigo's book "Interest Rate Models Theory and Practice" and Leif Andersen's "Interest Rate Modeling" are two famous books, but neither mentioned LGM model.

Is it I missed something, or it's not so popular because of some reason, or the two books just happened not capturing LGM?

Some friends recommend to me Linear Gauss Markov model, saying it's interesting to have a look at it. Basically it's a framework different from HJM, with potential to extend, and the merit is that it's linear, so won't be so interwined as Hull White models, -- or so I was told.

I just did a brief search, it's from Patrick Hagan, there are several of his papers,

• "Markov Interest Rate Models", 1999, about the model, and
• "Methodology for Callable Swaps and Bermudan Exercise Into Swaptions", 2004
• "Accrual Swaps and Rangge Notes", 2005, about the calibration

But besides that seems LGM was not so popular in other sources. For example, Damiano Brigo's book "Interest Rate Models Theory and Practice" and Leif Andersen's "Interest Rate Modeling" are two famous books, but neither mentioned LGM model.

Did I miss something, or it's not so popular because for some reason, or did the two books just happen not to contain LGM?

Some friends recommend to me Linear Gauss Markov model, saying it's interesting to have a look. Basically it's a framework different from HJM, with potential to extend, and the merit is that it's linear, so won't be so interwined as Hull White models, -- or as I was told.

I just did a brief search, it's from Patrick Hagan, there are 2 of his papers, "Markov Interest Rate Models", 1999, about the model, and "Accrual Swaps and Rangge Notes", 2005, about the calibration

But besides that seems LGM was not so popular in other sources. For example, Damiano Brigo's book "Interest Rate Models Theory and Practice" and Leif Andersen's "Interest Rate Modeling" are two famous books, but neither mentioned LGM model.

Is it I missed something, or it's not so popular because of some reason, or the two books just happened not capturing LGM?

Some friends recommend to me Linear Gauss Markov model, saying it's interesting to have a look. Basically it's a framework different from HJM, with potential to extend, and the merit is that it's linear, so won't be so interwined as Hull White models, -- or as I was told.

I just did a brief search, it's from Patrick Hagan, there are several his papers,

• "Markov Interest Rate Models", 1999, about the model, and
• "Methodology for Callable Swaps and Bermudan Exercise Into Swaptions", 2004
• "Accrual Swaps and Rangge Notes", 2005, about the calibration

But besides that seems LGM was not so popular in other sources. For example, Damiano Brigo's book "Interest Rate Models Theory and Practice" and Leif Andersen's "Interest Rate Modeling" are two famous books, but neither mentioned LGM model.

Is it I missed something, or it's not so popular because of some reason, or the two books just happened not capturing LGM?