易获数据网利率模型相关教程
Interest Rate Modelling
by Simona Svoboda
Palgrave Macmillan © 2004 (288 pages)
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