Index_M


M

market measure, 173, 194
market price of risk
in Brennan and Schwartz, 52-54
in Cox, Ingersoll and Ross, 39, 45, 202- 206
in extended CIR model, 114
in extended Vasicek, 104
in Heath, Jarrow and Morton, 174, 190, 192-196
in Hull and White, 103
in Langetieg, 77, 84
in Longstaff and Schwartz, 61, 68
in Vasicek, 6, 8-9
Markovian dynamics
in Heath, Jarrow and Morton, 206-211
martingale measure, 173-190, 215, 218
mean reversion
in Black and Karasinski, 136, 137
in Black, Derman and Toy, 127
in Cox, Ingersoll and Ross, 35
in Vasicek, 9
money market account, 165, 171, 194, 198, 215, 219, 221
multi-factor model
Langetieg, 77-93



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