Index_S


S

self-financing strategy, 197-199
short rate process
in Black and Karasinski, 135
in Black, Derman and Toy, 126-127
in Brennan and Schwartz, 49, 55
in Cox, Ingersoll and Ross, 28, 42, 44
in extended CIR, 113
in extended Vasicek model, 104
in Heath, Jarrow and Morton, 165, 195, 199, 204, 206-208
in Ho and Lee, 153
in Langetieg, 77
in Longstaff and Schwartz, 62
in Vasicek, 4, 7, 9



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

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