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Interest rate dynamics, derivatives pricing, and risk management

Author: Lin Chen
Publisher: Berlin ; New York : Springer, ©1996.
Series: Lecture notes in economics and mathematical systems, 435.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling  Read more...

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Additional Physical Format: Online version:
Chen, Lin, 1965-
Interest rate dynamics, derivatives pricing, and risk management.
Berlin ; New York : Springer, ©1996
(OCoLC)680553780
Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Lin Chen
ISBN: 3540608141 9783540608141
OCLC Number: 34471444
Notes: Based on the author's thesis submitted to Harvard University.
Description: xii, 149 pages : illustrations ; 24 cm.
Contents: 1. A Three-Factor Model of the Term Structure of Interest Rates --
2. Pricing Interest Rate Derivatives --
3. Pricing Exotic Options --
4. Fitting to a Given Term Structure --
5. A Discrete-Time Version of the Model --
6. Estimation of the Model --
7. Managing Interest Rate Risk --
8. Extensions of the Model --
9. Concluding Remarks --
A Proof of Lemma 1 --
B Proof of Proposition 2 --
C Proof of Lemma 2 --
D Proof of Proposition 8 --
E Integral Equation for Derivative Prices.
Series Title: Lecture notes in economics and mathematical systems, 435.
Responsibility: Lin Chen.

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