Fixed Income Derivatives

Paskalis Glabadanidis

Chapter 7 in Absence of Arbitrage Valuation, 2014, pp 101-115 from Palgrave Macmillan

Abstract: Abstract In the following presentation of various term structure models, we shall adopt the following notation. Let P(t, s) denote the price at time t of a zero-coupon bond with a face value of one that matures at time s ≥ t. Let R(t, s) denote the yield to maturity at time t of a zero-coupon bond with a face value of one maturing at time s ≥ t. Furthermore, let f(t, s) be the forward interest rate at time t for time s ≥ t. Finally, we shall denote the volatility of the zero-coupon yield R(t, s) as σ R (t, s).

Keywords: Interest Rate; Short Rate; Term Structure Model; Binomial Tree; Interest Rate Model (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-37287-1_7

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DOI: 10.1057/9781137372871_7

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