Interest Rate Modelling (Finance and Capital Markets Series)

M

market measure, 173, 194

market price of risk

in Brennan and Schwartz, 52-54

in Cox, Ingersoll and Ross, 39, 45, 202- 206

in extended CIR model, 114

in extended Vasicek, 104

in Heath, Jarrow and Morton, 174, 190, 192-196

in Hull and White, 103

in Langetieg, 77, 84

in Longstaff and Schwartz, 61, 68

in Vasicek, 6, 8-9

Markovian dynamics

in Heath, Jarrow and Morton, 206-211

martingale measure, 173-190, 215, 218

mean reversion

in Black and Karasinski, 136, 137

in Black, Derman and Toy, 127

in Cox, Ingersoll and Ross, 35

in Vasicek, 9

money market account, 165, 171, 194, 198, 215, 219, 221

multi-factor model

Langetieg, 77-93