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Book Categories |
| Introduction | ||
| Pt. I | Interest Rate Models | |
| Ch. 1 | The Vasicek Model | |
| Ch. 2 | The Cox, Ingersoll and Ross Model | |
| Ch. 3 | The Brennan and Schwartz Model | |
| Ch. 4 | Longstaff and Schwartz: A Two-Factor Equilibrium Model | |
| Ch. 5 | Langetieg's Multi-Factor Equilibrium Framework | |
| Ch. 6 | The Ball and Torous Model | |
| Ch. 7 | The Hull and White Model | |
| Ch. 8 | The Black, Derman and Toy One-Factor Interest Rate Model | |
| Ch. 9 | The Black and Karasinski Model | |
| Ch. 10 | The Ho and Lee Model | |
| Ch. 11 | The Health, Jarrow and Morton Model | |
| Ch. 12 | Brace, Gatarek and Musiela Model | |
| Pt. II | Calibration | |
| Ch. 13 | Calibrating the Hull-White extended Vasicel | |
| Ch. 14 | Calibrating the Black, Derman and Toy discrete time model | |
| Ch. 15 | Calibration of the Heath, Jarrow and Morton framework | |
| Closing Remarks | ||
| Bibliography | ||
| Index |
| Price | Condition | Delivery | Seller | Action |
| $313.40 | Digital |
| WonderClub |
Juan Artolozaga
reviewed Interest Rate Modelling on September 17, 2011
Interest Rate Modelling
Comprehensive and easy to digest review of statistical analysis techniques with specific examples geared towards economics.
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