Interest Rate Modelling (Finance and Capital Markets Series)

H-K

Heath, Jarrow and Morton model, 161-211, 257-268

arbitrage-free pricing, 173-193, 196

bond price PDE, 171

bond price process, 165-172, 191

calibration, 257-268

Gaussian volatilities, 259

historical volatilities, 262-266

implied volatilities, 261

Markovian volatilities, 259

forward rate drift restriction, 173, 190, 192-195

forward rate process, 164, 191, 195, 196

market price of risk, 174, 190, 192-196

Markovian dynamics, 206-211

relative bond price process, 171

short rate process, 165, 195, 199, 204, 206-208

Hermitian matrix, 264

Ho and Lee model, 141-160

assumptions, 141

bond price process, 199

contingent claim price, 158-160

continuous time equivalent, 152-157

forward rate process, 199

implied probability, 145-147

in Heath, Jarrow and Morton framework, 199-201, 207

path independence, 149-152

perturbation functions, 144

short rate process, 153

Hull and White model, 103-120, 229-245

extended CIR model, 113-116

bond price, 114-116

market price of risk, 114

short rate process, 113

extended Vasicek model, 104-113, 229-245

bond price, 105, 108

calibration, 229-245

forward rate process, 208

in Heath, Jarrow and Morton framework, 208

market price of risk, 104

option price, 109-113

short rate process, 104

fitting to market data, 116-119