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Chapter 1: The Vasicek Model
Figure 1.1: Possible shapes of the term structure.
= 0.14,
= 0.5,
s
= 0.25,
q
= 0.2
Figure 1.2: Shape of curve 4
e
ˆ
+ 3
e
ˆ
ˆ
3for
= 0.15
Figure 1.3: Shape of curve 4
e
ˆ
ˆ
2
e
ˆ
2
ˆ
3 + 4
e
ˆ
ˆ
e
ˆ
2
for
= 0.45
Chapter 2: The Cox, Ingersoll and Ross Model
Figure 2.1: Possible shapes of the term structure.
= 0.3,
= 0,
ƒ
=0.6,
= 0.15
Chapter 8: The Black, Derman and Toy One-Factor Interest Rate Model
Figure 8.1: Tree with one time step
Figure 8.2: Valuation of a 2-year zero coupon bond
Figure 8.3: Tree of short-term interest rates out to 2 years
Chapter 10: The Ho and Lee Model
Figure 10.1: Binomial tree showing possible discount bond prices after one time step.
Figure 10.2: Binomial tree is used to model the whole term structure, not only the short-term interest rate.
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Interest Rate Modelling (Finance and Capital Markets Series)
ISBN: 1403934703
EAN: 2147483647
Year: 2004
Pages: 132
Authors:
Simona Svoboda
BUY ON AMAZON
Inside Network Security Assessment: Guarding Your IT Infrastructure
Encryption
Reviewing Critical Systems and Information
What Do Attackers Do?
Performing the Assessment
Building the Final Report
Introducing Microsoft Office InfoPath 2003 (Bpg-Other)
Presenting InfoPath 2003 SP-1
Understanding Form Technologies
Working with Advanced Form Elements
Publishing Form Templates
Writing Advanced Event Handlers
A+ Fast Pass
Domain 1 Installation, Configuration, and Upgrading
Domain 4 Motherboard/Processors/Memory
Domain 5 Printers
Domain 1 Operating System Fundamentals
Domain 4 Networks
The CISSP and CAP Prep Guide: Platinum Edition
Operations Security
Initiation of the System Authorization Process
The Accreditation Phase
Appendix B Glossary of Terms and Acronyms
Appendix F Security Control Catalog
Java How to Program (6th Edition) (How to Program (Deitel))
Floating-Point Numbers and Type double
Primitive Types
static Import
Demonstrating Polymorphic Behavior
Type-Wrapper Classes for Primitive Types
Competency-Based Human Resource Management
Competency-Based Employee Rewards
Competency-Based Employee Development
The Transformation to Competency-Based HR Management
Appendix B Further Suggestions on Employee Development
Appendix D Employee Development and Succession Management
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