Interest Rate Modelling | |

by Simona Svoboda | ISBN:1403934703 |

Palgrave Macmillan © 2004 (288 pages) | |

Growth in the derivatives market has brought an ever-increasing volume and range of interest rate dependent products. This book looks at the predecessors of market models, and describes and explains the general shape of the interest rate term structures. | |

Table of Contents | |||

Interest Rate Modelling | |||

Introduction | |||

Part I - Interest Rate Models | |||

Chapter 1 | - | The Vasicek Model | |

Chapter 2 | - | The Cox, Ingersoll and Ross Model | |

Chapter 3 | - | The Brennan and Schwartz Model | |

Chapter 4 | - | Longstaff and Schwartz”A Two-Factor Equilibrium Model | |

Chapter 5 | - | Langetieg's Multi-Factor Equilibrium Framework | |

Chapter 6 | - | The Ball and Torous Model | |

Chapter 7 | - | The Hull and White Model | |

Chapter 8 | - | The Black, Derman and Toy One-Factor Interest Rate Model | |

Chapter 9 | - | The Black and Karasinski Model | |

Chapter 10 | - | The Ho and Lee Model | |

Chapter 11 | - | The Heath, Jarrow and Morton Model | |

Chapter 12 | - | Brace, Gatarek and Musiela Model | |

Part II - Calibration | |||

Chapter 13 | - | Calibrating the Hull”White extended Vasicek approach | |

Chapter 14 | - | Calibrating the Black, Derman and Toy discrete time model | |

Chapter 15 | - | Calibration of the Heath, Jarrow and Morton framework | |

Closing Remarks | |||

Bibliography | |||

Index | |||

List of Figures | |||

List of Assumptions |

Interest Rate Modelling (Finance and Capital Markets Series)

ISBN: 1403934703

EAN: 2147483647

EAN: 2147483647

Year: 2004

Pages: 132

Pages: 132

Authors: Simona Svoboda

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