Index_B


B

backward induction, 250
Ball and Torous model, 95-102
assumptions, 100
bond price, 100
option price, 101
Bayes' Rule, 219
Bessel function, 34
binomial tree, 122, 136, 142-143
Black and Karasinski model, 135-139
mean reversion, 136, 137
short rate process, 135
Black, Derman and Toy model, 121-133, 135, 247-255
assumptions, 121
calibration, 123-125, 128-133, 247-255
contingent claim pricing, 250-251
to interest rate and volatility term structures, 130-133
to interest rate term structure, 248-250
continuous time equivalent, 125-128
mean reversion, 127
short rate process, 126-127
bond price
in Ball and Torous, 100
in Cox, Ingersoll and Ross, 36-39, 45
in extended CIR model, 114-116
in extended Vasicek, 105, 108
in Langetieg, 86-93
in Longstaff and Schwartz, 66-68
in Vasicek, 10-11
bond price PDE
in Brennan and Schwartz, 52, 53
in Cox, Ingersoll and Ross, 28
in Heath, Jarrow and Morton, 171
in Langetieg, 82-84
in Vasicek, 6, 10
bond price process
in Brace, Gatarek and Musiela, 214
in Brennan and Schwartz, 50
in Cox, Ingersoll and Ross, 40, 45, 201
in Heath, Jarrow and Morton, 165-172, 191
in Ho and Lee, 199
in Langetieg, 83, 84, 89-93
in Vasicek, 5, 6
Brace, Gatarek and Musiela model, 213-226
calibration, 225
derivative pricing, 222-225
forward measure, 218-222
LIBOR rate process, 215-218, 220-222
Brennan and Schwartz model, 49-57
bond price PDE, 52, 53
bond price process, 50
market price of risk, 52-54
short rate process, 49, 55
Brownian Bridge process, 95-100



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

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