List of Figures

Chapter 1: The Vasicek Model

Figure 1.1: Possible shapes of the term structure. = 0.14, = 0.5, s = 0.25, q = 0.2

Figure 1.2: Shape of curve 4 e ^ˆ + 3 e ^ˆ ˆ 3for = 0.15

Figure 1.3: Shape of curve 4 e ^ˆ ˆ 2 e ^{ˆ 2} ˆ 3 + 4 e ^ˆ ˆ e ^{ˆ 2} for = 0.45

Chapter 2: The Cox, Ingersoll and Ross Model

Figure 2.1: Possible shapes of the term structure. = 0.3, = 0, ƒ =0.6, = 0.15

Chapter 8: The Black, Derman and Toy One-Factor Interest Rate Model

Figure 8.1: Tree with one time step

Figure 8.2: Valuation of a 2-year zero coupon bond

Figure 8.3: Tree of short-term interest rates out to 2 years

Chapter 10: The Ho and Lee Model

Figure 10.1: Binomial tree showing possible discount bond prices after one time step.

Figure 10.2: Binomial tree is used to model the whole term structure, not only the short-term interest rate.