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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.
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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
Documenting Software Architectures: Views and Beyond
P.1. The Role of Architecture
P.6. Seven Rules for Sound Documentation
Publish-Subscribe Style
Chunking Information: View Packets, Refinement, and Descriptive Completeness
Appendix A. Excerpts from a Software Architecture Documentation Package
The Complete Cisco VPN Configuration Guide
Summary
Routing on the Concentrator
Microsoft Client Connections
Summary
Summary
Java How to Program (6th Edition) (How to Program (Deitel))
Examples Using the for Statement
Terminology
Self-Review Exercises
Introduction
Handling HTTP get Requests
Visual C# 2005 How to Program (2nd Edition)
Early Operating Systems
Wrap-Up
Drawing Arcs
(Optional) Extensible Stylesheet Language and XSL Transformations
Summary
MySQL Cookbook
Creating a Database and a Sample Table
Checking for Errors
Dealing with Duplicates at Record-Creation Time
B.2. Setting Up a Tomcat Server
C.1. MySQL Resources
File System Forensic Analysis
Reading the Source Data
Removable Media
File System Category
Application Category
UFS1 Superblock
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