Interest Rate Modelling (Finance and Capital Markets Series)

S

self-financing strategy, 197-199

short rate process

in Black and Karasinski, 135

in Black, Derman and Toy, 126-127

in Brennan and Schwartz, 49, 55

in Cox, Ingersoll and Ross, 28, 42, 44

in extended CIR, 113

in extended Vasicek model, 104

in Heath, Jarrow and Morton, 165, 195, 199, 204, 206-208

in Ho and Lee, 153

in Langetieg, 77

in Longstaff and Schwartz, 62

in Vasicek, 4, 7, 9