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Part I: Interest Rate Models
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Chapter List
Chapter 1: The Vasicek Model
Chapter 2: The Cox, Ingersoll and Ross Model
Chapter 3: The Brennan and Schwartz Model
Chapter 4: Longstaff and Schwartz-A Two-Factor Equilibrium Model
Chapter 5: Langetieg's Multi-Factor Equilibrium Framework
Chapter 6: The Ball and Torous Model
Chapter 7: The Hull and White Model
Chapter 8: The Black, Derman and Toy One-Factor Interest Rate Model
Chapter 9: The Black and Karasinski Model
Chapter 10: The Ho and Lee Model
Chapter 11: The Heath, Jarrow and Morton Model
Chapter 12: Brace, Gatarek and Musiela Model
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Interest Rate Modelling (Finance and Capital Markets Series)
ISBN: 1403934703
EAN: 2147483647
Year: 2004
Pages: 132
Authors:
Simona Svoboda
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