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Interest Rate Dynamics, Derivatives Pricing, and Risk Management

af Lin Chen

indgår i Lecture Notes in Economics and Mathematical Systems serien

Interest Rate Dynamics, Derivatives Pricing, and Risk Management af Lin Chen
Bag om Interest Rate Dynamics, Derivatives Pricing, and Risk Management

There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest rates.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783540608141
  • Indbinding:
  • Paperback
  • Sideantal:
  • 152
  • Udgivet:
  • 7. marts 1996
  • Størrelse:
  • 234x156x9 mm.
  • Vægt:
  • 265 g.
Leveringstid: 8-11 hverdage
Forventet levering: 27. november 2024

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Beskrivelse af Interest Rate Dynamics, Derivatives Pricing, and Risk Management

There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest rates.

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