Interest Rate Modelling

✍ Scribed by Simona Svoboda (auth.)

• Publisher: Palgrave Macmillan UK
• Year: 2004
• Tongue: English
• Leaves: 275
• Series: Finance and Capital Markets Series
• Category: Library

✦ Table of Contents

Front Matter....Pages i-xi
Front Matter....Pages 1-1
The Vasicek Model....Pages 3-17
The Cox, Ingersoll and Ross Model....Pages 19-47
The Brennan and Schwartz Model....Pages 49-57
Longstaff and Schwartz: A Two-Factor Equilibrium Model....Pages 59-75
Langetieg’s Multi-Factor Equilibrium Framework....Pages 77-93
The Ball and Torous Model....Pages 95-102
The Hull and White Model....Pages 103-120
The Black, Derman and Toy One-Factor Interest Rate Model....Pages 121-133
The Black and Karasinski Model....Pages 135-139
The Ho and Lee Model....Pages 141-160
The Heath, Jarrow and Morton Model....Pages 161-211
Brace, Gatarek and Musiela Model....Pages 213-226
Front Matter....Pages 227-227
Calibrating the Hull—White extended Vasicek approach....Pages 229-245
Calibrating the Black, Derman and Toy discrete time model....Pages 247-255
Calibration of the Heath, Jarrow and Morton framework....Pages 257-268
Back Matter....Pages 269-275

✦ Subjects

Macroeconomics/Monetary Economics//Financial Economics; Business and Management, general; Business Finance; Investments and Securities