Interest Rate Modelling (Finance and Capital Markets Series)

L

Lagrange interpolation, 238-240

Langetieg model, 77-93

assumptions, 77

bond price, 86-93

bond price PDE, 82-84

bond price process, 83, 84, 89-93

market price of risk, 77, 84

risk-neutral valuation, 84-86

short rate process, 77

LIBOR rate, 213, 215-218, 220-222

Longstaff and Schwartz model, 59-75

bond price, 66-68

market price of risk, 61, 68

option price, 72

short rate process, 62

term structure shape, 69

volatility term structure, 69