Table of Contents


 
interest rate modelling
Interest Rate Modelling
by Simona Svoboda   ISBN:1403934703
Palgrave Macmillan © 2004 (288 pages)

Growth in the derivatives market has brought an ever-increasing volume and range of interest rate dependent products. This book looks at the predecessors of market models, and describes and explains the general shape of the interest rate term structures.

Table of Contents
Interest Rate Modelling
Introduction
Part I - Interest Rate Models
Chapter 1 - The Vasicek Model
Chapter 2 - The Cox, Ingersoll and Ross Model
Chapter 3 - The Brennan and Schwartz Model
Chapter 4 - Longstaff and Schwartz”A Two-Factor Equilibrium Model
Chapter 5 - Langetieg's Multi-Factor Equilibrium Framework
Chapter 6 - The Ball and Torous Model
Chapter 7 - The Hull and White Model
Chapter 8 - The Black, Derman and Toy One-Factor Interest Rate Model
Chapter 9 - The Black and Karasinski Model
Chapter 10 - The Ho and Lee Model
Chapter 11 - The Heath, Jarrow and Morton Model
Chapter 12 - Brace, Gatarek and Musiela Model
Part II - Calibration
Chapter 13 - Calibrating the Hull”White extended Vasicek approach
Chapter 14 - Calibrating the Black, Derman and Toy discrete time model
Chapter 15 - Calibration of the Heath, Jarrow and Morton framework
Closing Remarks
Bibliography
Index
List of Figures
List of Assumptions





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