Description |
xi, 275 pages ; 24 cm |
Series |
Finance and capital markets series |
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Finance and capital markets |
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Finance and capital markets.
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Contents |
Pt. I. Interest Rate Models -- Ch. 1. The Vasicek Model -- Ch. 2. The Cox, Ingersoll and Ross Model -- Ch. 3. The Brennan and Schwartz Model -- Ch. 4. Longstaff and Schwartz: A Two-Factor Equilibrium Model -- Ch. 5. Langetieg's Multi-Factor Equilibrium Framework -- Ch. 6. The Ball and Torous Model -- Ch. 7. The Hull and White Model -- Ch. 8. The Black, Derman and Toy One-Factor Interest Rate Model -- Ch. 9. The Black and Karasinski Model -- Ch. 10. The Ho and Lee Model -- Ch. 11. The Health, Jarrow and Morton Model -- Ch. 12. Brace, Gatarek and Musiela Model -- Pt. II. Calibration -- Ch. 13. Calibrating the Hull-White extended Vasicel -- Ch. 14. Calibrating the Black, Derman and Toy discrete time model -- Ch. 15. Calibration of the Heath, Jarrow and Morton framework |
Summary |
"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." "This book guides the practitioner through the derivation and implementation of a variety of models that account for the characteristics and irregularities of observed term structures."--BOOK JACKET |
Bibliography |
Includes bibliographical references and index |
Subject |
Interest rates -- Mathematical models.
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LC no. |
2003070297 |
ISBN |
1403934703 (cloth) |
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