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Chapter 3: Model Risk in Interest Rate Modelling
https://doi.org/10.1142/9789814663410_0003Cited by:0 (Source: Crossref)
Abstract:
The following sections are included:
Introduction
Short Rate Models
Theory of Interest Rate Term Structure
Expectations Hypothesis
A reexamination of Log EH
Reconciling the arguments and examples
Yield Curve
Parallel shift of a flat yield curve
Another proof that the yield curve cannot be flat
Deterministic maturity independent yields
Consol modelling
Interest Rate Forward Curve Modelling
One-factor or Multi-factor models
Notes and Summary
