Vasicek and Beyond: Approaches to Building and Applying Interest Rate Models
Hughston, L P, ed.
1996.
Vasicek and Beyond: Approaches to Building and Applying Interest Rate Models.
London: Risk Publications.
ISBN 1899332502
[Edited Book]
This is an edited collection charting the development of the modern theory of interest rate dynamics. It is designed to make accessible in one volume the essential approaches to interest rate modelling from 1978 to 1996, and provides fundamental papers on the Ho-Lee, Heath-Jarrow-Morton and Cox-Ross-Rubinstein models. Other topics include option pricing fundamentals, dynamic arbitrage models and the Heath-Jarrow-Morton family.
| Item Type | Edited Book |
|---|---|
| Departments, Centres and Research Units | Computing |
| Date Deposited | 07 Mar 2022 15:34 |
| Last Modified | 07 Mar 2022 15:34 |