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Paperback Vasicek And Beyond Approaches to Building and Applying Interest Rate Models Book
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ISBN: 1899332553

ISBN13: 9781899332557

Vasicek And Beyond Approaches to Building and Applying Interest Rate Models

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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.

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Format: Paperback

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