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Interest Rate Dynamics, Derivatives Pricing, and Risk Management
Lin Chen
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Description for Interest Rate Dynamics, Derivatives Pricing, and Risk Management
Paperback. This text presents a three-factor model of the term structure of interest rates in which the short mean and volatility of the short rate are stochastic. By this specification, this model has nested many of the term structure models in the existing literature. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 164 pages, biography. BIC Classification: KCBM. Category: (P) Professional & Scholarly. Dimension: 234 x 156 x 9. Weight in Grams: 264.
There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives pricing fonnulas based on each type of model of the tenn structure. The no-arbitrage models are characterized by the work of Ho and Lee (1986), Heath, Jarrow, and Morton (1992), Hull and White (1990 and 1993), and Black, Dennan and Toy (1990). Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest ... Read more
There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives pricing fonnulas based on each type of model of the tenn structure. The no-arbitrage models are characterized by the work of Ho and Lee (1986), Heath, Jarrow, and Morton (1992), Hull and White (1990 and 1993), and Black, Dennan and Toy (1990). Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest ... Read more
Product Details
Format
Paperback
Publication date
1996
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
164
Condition
New
Series
Lecture Notes in Economics and Mathematical Systems
Number of Pages
152
Place of Publication
Berlin, Germany
ISBN
9783540608141
SKU
V9783540608141
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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