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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
Agile Project Management: Creating Innovative Products (2nd Edition)
Practice: Product Architecture
Practice: Customer Team-Developer Team Interface
A Hub Organizational Structure
Team Self-Discipline
Is It Working?
Certified Ethical Hacker Exam Prep
The Technical Foundations of Hacking
Automated Assessment Tools
Apply Your Knowledge
Hacking Web Servers
Using ExamGear Special Edition
Visual C# 2005 How to Program (2nd Edition)
Introduction
Answers To Self-Review Exercises
Case Study: Secure Books Database Application
Class Array and Enumerators
E.2. Unicode Transformation Formats
101 Microsoft Visual Basic .NET Applications
Advanced .NET Framework
GDI+
Building Enterprise Services Applications
Securing Applications
Windows Server 2003 for .NET Developers
Comparing, Designing, and Deploying VPNs
Designing and Implementing AToM-Based Layer 2 VPNs
Summary
Benefits and Drawbacks of L2TP Remote Access VPNs
Using Clientless SSL Remote Access VPNs (WebVPN) on the Cisco VPN 3000 Concentrator
GDI+ Programming with C#
Working with Colors
Regions, Nonrectangular Forms, and Controls
Advanced Imaging
Miscellaneous Advanced 2D Topics
A Brief History of Printing with Microsoft Windows
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