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Term Structure Models

In: Understanding And Managing Interest Rate Risks

Author

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  • Ren-Raw Chen

    (Rutgers University, USA)

Abstract

The following sections are included:INTRODUCTION TO PRICED-BY-ARBITRAGE AND RISK-NEUTRAL PRICINGSINGLE-FACTOR MODELSVasicek ModelCox–Ingersoll–Ross ModelDothan ModelConstantinides ModelDiscussionsMULTI-FACTOR MODELSBrennan–Schwartz ModelRichard ModelCox–Ingersoll–Ross/Langetieg ModelLongstaff–Schwartz ModelTIME-DEPENDENT PARAMETER MODELSHo–Lee ModelHull–White ModelBlack–Derman–Toy ModelHeath–Jarrow–Motorn ModelRelations Among Time-Dependent Parameter ModelsCOUPON BOND

Suggested Citation

  • Ren-Raw Chen, 1996. "Term Structure Models," World Scientific Book Chapters, in: Understanding And Managing Interest Rate Risks, chapter 2, pages 19-54, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812819338_0002
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    Cited by:

    1. Jan Bo Jakobsen & Carsten Sørensen, 2003. "The dynamics of bond yields and the stock index - with an application to the UK stock and bond market," Applied Financial Economics, Taylor & Francis Journals, vol. 13(5), pages 387-399.

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