Interest Rate Modelling (Finance and Capital Markets Series)

B

backward induction, 250

Ball and Torous model, 95-102

assumptions, 100

bond price, 100

option price, 101

Bayes' Rule, 219

Bessel function, 34

binomial tree, 122, 136, 142-143

Black and Karasinski model, 135-139

mean reversion, 136, 137

short rate process, 135

Black, Derman and Toy model, 121-133, 135, 247-255

assumptions, 121

calibration, 123-125, 128-133, 247-255

contingent claim pricing, 250-251

to interest rate and volatility term structures, 130-133

to interest rate term structure, 248-250

continuous time equivalent, 125-128

mean reversion, 127

short rate process, 126-127

bond price

in Ball and Torous, 100

in Cox, Ingersoll and Ross, 36-39, 45

in extended CIR model, 114-116

in extended Vasicek, 105, 108

in Langetieg, 86-93

in Longstaff and Schwartz, 66-68

in Vasicek, 10-11

bond price PDE

in Brennan and Schwartz, 52, 53

in Cox, Ingersoll and Ross, 28

in Heath, Jarrow and Morton, 171

in Langetieg, 82-84

in Vasicek, 6, 10

bond price process

in Brace, Gatarek and Musiela, 214

in Brennan and Schwartz, 50

in Cox, Ingersoll and Ross, 40, 45, 201

in Heath, Jarrow and Morton, 165-172, 191

in Ho and Lee, 199

in Langetieg, 83, 84, 89-93

in Vasicek, 5, 6

Brace, Gatarek and Musiela model, 213-226

calibration, 225

derivative pricing, 222-225

forward measure, 218-222

LIBOR rate process, 215-218, 220-222

Brennan and Schwartz model, 49-57

bond price PDE, 52, 53

bond price process, 50

market price of risk, 52-54

short rate process, 49, 55

Brownian Bridge process, 95-100