Interest Rate Models

Norbert Hilber, Oleg Reichmann, Christoph Schwab and Christoph Winter
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Norbert Hilber: Zurich University of Applied Sciences
Oleg Reichmann: Swiss Federal Institute of Technology (ETH)
Christoph Schwab: Swiss Federal Institute of Technology (ETH)
Christoph Winter: Allianz Deutschland AG

Chapter Chapter 7 in Computational Methods for Quantitative Finance, 2013, pp 85-90 from Springer

Abstract: Abstract We consider options on interest rates and present commonly used short rate models to model the time-evolution of the interest rate. Many interest rate derivatives in fixed income markets can then be priced numerically using the computational techniques described in the previous chapter, i.e. they can be interpreted as compound options on bonds.

Keywords: Interest Rate; Forward Rate; Bond Price; Zero Coupon Bond; Interest Rate Model (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-35401-4_7

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DOI: 10.1007/978-3-642-35401-4_7

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