Interest Rate Modelling (Finance and Capital Markets Series)

C

calibration

of Black, Derman and Toy model, 247-255

contingent claim pricing, 250-251

to interest rate term structure, 248- 250

of extended Vasicek model, 229-245

constant mean reversion and volatility, 234-236

flat volatility, 236-237

of Heath, Jarrow and Morton model, 257-268

Gaussian volatilities, 259

historical volatilities, 262-266

implied volatilities, 261

Markovian volatilities, 259

chi-square distribution

in Cox, Ingersoll and Ross, 32-35

in Longstaff and Schwartz, 73

complete market, 196-199

consol bond, 52

coupon bond option, 230-232

Cox, Ingersoll and Ross model, 19-47, 157, 160, 201-206, 210

assumptions, 27

bond price, 36-39, 45

bond price PDE, 28

bond price process, 40, 45, 201

distribution of short rate, 28-36

equilibrium economy, 19-27

forward rate process, 202-204, 210

in Heath, Jarrow and Morton framework, 201-206, 210

market price of risk, 39, 45, 202-206

mean reversion, 35

short rate process, 28, 42, 44

term structure shapes , 40-42

cubic Bessel interpolation, 233, 240

cubic spline interpolation, 233-234, 240