Description
Book SynopsisGrowth in the derivatives market has brought with it a greater volume and range of interest rate dependent products. A study of the evolution of interest rate modelling theory places these models in the correct mathematical context, allowing appreciation of their key assumptions, concepts and implications.
Table of ContentsIntroduction The Vasicek Model The Cox, Ingersoll and Ross Model The Brennan and Schwartz Model Longstaff® and Schwartz: A Two-Factor Equilibrium Model Langetieg's Multi Factor Equilibrium Framework The Ball and Torous Model The Hull and White Model The Black, Derman and Toy One-Factor Interest Rate Model The Black and Karasinski Model The Ho and Lee Model The Heath, Jarrow and Morton Model Brace, Gatarek and Musiela Model Calibration of the Hull White - Extended Vasicek Approach Calibration of the Black, Derman and Toy Discrete Time Model Calibration of the Heath, Jarrow and Jorton Framework Conclusion Bibliography
