Index_L


L

Lagrange interpolation, 238-240
Langetieg model, 77-93
assumptions, 77
bond price, 86-93
bond price PDE, 82-84
bond price process, 83, 84, 89-93
market price of risk, 77, 84
risk-neutral valuation, 84-86
short rate process, 77
LIBOR rate, 213, 215-218, 220-222
Longstaff and Schwartz model, 59-75
bond price, 66-68
market price of risk, 61, 68
option price, 72
short rate process, 62
term structure shape, 69
volatility term structure, 69



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

flylib.com © 2008-2017.
If you may any questions please contact us: flylib@qtcs.net