Outline of the book

Part examines the various models mentioned above. Each chapter begins with the assumptions underlying each model and examines its derivation and, where analytical solutions exist, the derivation of the pricing formulae for contingent claims. Comparisons are drawn between the various models with the aim of explaining the significance of the various approaches. Part 12.8 describes the calibration procedure for the HW-extended Vasicek, BDT and HJM models. These models represent distinct approaches to term structure modelling and their calibration methodologies are representative of the general class of models to which each belongs.