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INTEREST-RATE DYNAMICS
https://doi.org/10.1142/9789812792914_0010Cited by:0 (Source: Crossref)
Abstract:
The following sections are included:
The Forward-Rate Model
The One-Factor HJM Model
Allowing Additional Risk Sources
Implementation and Applications
Pricing a Sure Cash Receipt
European Options on the Money Fund
Options on Discount Bonds
Options on Coupon-Paying Bonds
Swaps and Swaptions
Futures/Forward Prices under Stochastic Rates
Equity/Index Options under Stochastic Rates
