List of Figures


Chapter 1: The Vasicek Model

Figure 1.1: Possible shapes of the term structure. = 0.14, = 0.5, s = 0.25, q = 0.2
Figure 1.2: Shape of curve 4 e ˆ + 3 e ˆ ˆ 3for = 0.15
Figure 1.3: Shape of curve 4 e ˆ ˆ 2 e ˆ 2 ˆ 3 + 4 e ˆ ˆ e ˆ 2 for = 0.45

Chapter 2: The Cox, Ingersoll and Ross Model

Figure 2.1: Possible shapes of the term structure. = 0.3, = 0, ƒ =0.6, = 0.15

Chapter 8: The Black, Derman and Toy One-Factor Interest Rate Model

Figure 8.1: Tree with one time step
Figure 8.2: Valuation of a 2-year zero coupon bond
Figure 8.3: Tree of short-term interest rates out to 2 years

Chapter 10: The Ho and Lee Model

Figure 10.1: Binomial tree showing possible discount bond prices after one time step.
Figure 10.2: Binomial tree is used to model the whole term structure, not only the short-term interest rate.



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

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