Part II: Calibration

Table of content

Chapter List

Chapter 13: Calibrating the Hull-White extended Vasicek approach
Chapter 14: Calibrating the Black, Derman and Toy discrete time model
Chapter 15: Calibration of the Heath, Jarrow and Morton framework

Table of content

Interest Rate Modelling

Interest Rate Modelling (Finance and Capital Markets Series)

ISBN: 1403934703
EAN: 2147483647

Year: 2004
Pages: 132

Authors: Simona Svoboda

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