Interest Rate Derivatives
نویسنده
چکیده
منابع مشابه
Binomial Models for Interest Rate Derivatives
We shall discuss the construction of simple binomial models for pricing interest rate derivatives The main feature of these models is that the risk free interest rate can vary stochastically from one period to the next Stochastic rate models can be used to price interest rate options caps and oors options on bonds callable bonds etc They can also be incorporated at the expense of more complexit...
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For the pricing of interest rate derivatives, various stochastic interest rate models are used. The shape of such a model can take very different forms, such as direct modeling of the probability distribution (e.g. a generalized beta function of second kind), a short rate model (e.g. a Hull-White model), or a forward rate model (e.g. a LIBOR market model). This paper describes the general struc...
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