Interest Rate Dynamics, Derivatives Pricing, and Risk Management
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 rates. There are a number of disadva…
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Produktdetails
- ISBN: 978-3-642-46825-4
- EAN: 9783642468254
- Produktnummer: 37267783
- Verlag: Springer Berlin Heidelberg
- Sprache: Englisch
- Erscheinungsjahr: 2012
- Seitenangabe: 152 S.
- Plattform: PDF
- Auflage: 1996
- Reihenbandnummer: 435
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