IDEAS home Printed from https://ideas.repec.org/h/spr/sptchp/978-3-030-84600-8_17.html
   My bibliography  Save this book chapter

Modeling Interest Rates and Options on Interest Rates

In: Capital Market Finance

Author

Listed:
  • Patrice Poncet

    (ESSEC Business School)

  • Roland Portait

    (ESSEC Business School)

Abstract

This chapter is devoted to the study of interest rate models and the valuation of interest rate products that depend on the techniques, models, and probabilistic theories that were in particular studied in Chaps. 10 and 11 and whose mathematical foundations are presented in Chaps. 18 , 19 , and 20 . It analyzes models based on the dynamics of the spot rate (Vasicek, Hull and White, and Cox, Ingersoll and Ross), studied in Sect. 17.1, and on the dynamics of the forward rate (Heath-Jarrow-Morton, Libor and Swap Market Models), presented in Sect. 17.2. Models that rely on modeling the yield curve are based on making explicit the stochastic process assumed to control the evolution of rates in the absence of arbitrage. These models, which lead to lognormal prices and rates, are compatible with the Black–Scholes–Merton model and can be associated with it, in particular for calibration purposes.

Suggested Citation

  • Patrice Poncet & Roland Portait, 2022. "Modeling Interest Rates and Options on Interest Rates," Springer Texts in Business and Economics, in: Capital Market Finance, chapter 17, pages 719-763, Springer.
  • Handle: RePEc:spr:sptchp:978-3-030-84600-8_17
    DOI: 10.1007/978-3-030-84600-8_17
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sptchp:978-3-030-84600-8_17. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.