Index_H-K


H-K

Heath, Jarrow and Morton model, 161-211, 257-268
arbitrage-free pricing, 173-193, 196
bond price PDE, 171
bond price process, 165-172, 191
calibration, 257-268
Gaussian volatilities, 259
historical volatilities, 262-266
implied volatilities, 261
Markovian volatilities, 259
forward rate drift restriction, 173, 190, 192-195
forward rate process, 164, 191, 195, 196
market price of risk, 174, 190, 192-196
Markovian dynamics, 206-211
relative bond price process, 171
short rate process, 165, 195, 199, 204, 206-208
Hermitian matrix, 264
Ho and Lee model, 141-160
assumptions, 141
bond price process, 199
contingent claim price, 158-160
continuous time equivalent, 152-157
forward rate process, 199
implied probability, 145-147
in Heath, Jarrow and Morton framework, 199-201, 207
path independence, 149-152
perturbation functions, 144
short rate process, 153
Hull and White model, 103-120, 229-245
extended CIR model, 113-116
bond price, 114-116
market price of risk, 114
short rate process, 113
extended Vasicek model, 104-113, 229-245
bond price, 105, 108
calibration, 229-245
forward rate process, 208
in Heath, Jarrow and Morton framework, 208
market price of risk, 104
option price, 109-113
short rate process, 104
fitting to market data, 116-119



Interest Rate Modelling
Interest Rate Modelling (Finance and Capital Markets Series)
ISBN: 1403934703
EAN: 2147483647
Year: 2004
Pages: 132

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