Interest Rate Modelling
نویسنده
چکیده
Spot Rate Models 3 Equivalent Martingale Measure (Reference Only) . . . . . . . . . . . . . . . . . . 3 Spot Rate Models: Ideas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 The Bond Price Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 Inversion of the Yield Curve . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 Affine Term Structure Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 Calibration of Affine Term Structure Models . . . . . . . . . . . . . . . . . . . . . 6 The Ho-Lee Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 Comments on Spot Rate Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
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