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Lagrange interpolation, 238-240
Langetieg model, 77-93
assumptions, 77
bond price, 86-93
bond price PDE, 82-84
bond price process, 83, 84, 89-93
market price of risk, 77, 84
risk-neutral valuation, 84-86
short rate process, 77
LIBOR rate, 213, 215-218, 220-222
Longstaff and Schwartz model, 59-75
bond price, 66-68
market price of risk, 61, 68
option price, 72
short rate process, 62
term structure shape, 69
volatility term structure, 69
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Interest Rate Modelling (Finance and Capital Markets Series)
ISBN: 1403934703
EAN: 2147483647
Year: 2004
Pages: 132
Authors:
Simona Svoboda
BUY ON AMAZON
Agile Project Management: Creating Innovative Products (2nd Edition)
Agile Project Management
Judgment Required
Agile Practices
Practice: Participant Identification
Self-Organization Extensions
Metrics and Models in Software Quality Engineering (2nd Edition)
Measurement Errors
Test Compression Factor
Estimating the Distribution of Total Defects over Time
Measuring and Analyzing Customer Satisfaction
The Evaluation Phase
Secure Programming Cookbook for C and C++: Recipes for Cryptography, Authentication, Input Validation & More
Building a Complex Application from the Command Line
Finding the nth Instance of a Substring
Doing a Case-Insensitive String Search
Computing the Distance Between Two Vectors
XML
Java How to Program (6th Edition) (How to Program (Deitel))
Wrap-Up
Self-Referential Classes
Abstract Implementations
Thread Priorities and Thread Scheduling
First JSP Example
Visual C# 2005 How to Program (2nd Edition)
Producer/Consumer Relationship without Thread Synchronization
Terminology
Class StringBuilder
Overloading Generic Methods
G.11. Web Resources
C & Data Structures (Charles River Media Computer Engineering)
Arrays
Storage of Variables
Linked Lists
Graphs
Problems in Linked Lists
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