TERM STRUCTURE MODELS

Ren-Raw Chen
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Ren-Raw Chen: Rutgers University, USA

Chapter 2 in Understanding and Managing Interest Rate Risks, 1996, pp 19-54 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTION TO PRICED-BY-ARBITRAGE AND RISK-NEUTRAL PRICINGSINGLE-FACTOR MODELSVasicek ModelCox–Ingersoll–Ross ModelDothan ModelConstantinides ModelDiscussionsMULTI-FACTOR MODELSBrennan–Schwartz ModelRichard ModelCox–Ingersoll–Ross/Langetieg ModelLongstaff–Schwartz ModelTIME-DEPENDENT PARAMETER MODELSHo–Lee ModelHull–White ModelBlack–Derman–Toy ModelHeath–Jarrow–Motorn ModelRelations Among Time-Dependent Parameter ModelsCOUPON BOND

Keywords: Interest Rate Risk; Term Structure Models; Options; Futures; Hedging; Fixed Income Securities (search for similar items in EconPapers)
Date: 1996
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