INTEREST-RATE DYNAMICS

T. W. Epps
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T. W. Epps: University of Virginia, USA

Chapter 10 in Pricing Derivative Securities, 2000, pp 455-480 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:The Forward-Rate ModelThe One-Factor HJM ModelAllowing Additional Risk SourcesImplementation and ApplicationsPricing a Sure Cash ReceiptEuropean Options on the Money FundOptions on Discount BondsOptions on Coupon-Paying BondsSwaps and SwaptionsFutures/Forward Prices under Stochastic RatesEquity/Index Options under Stochastic Rates

Keywords: Arbitrage; Calls; Swaps; Finance; Futures; Hedging; Martingales; Options; P.D.E.S; Puts (search for similar items in EconPapers)
Date: 2000
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