多周期二项式HJM模型

An Introduction to Derivative Securities, Financial Markets, and Risk Management Pub Date : 1900-01-01 DOI:10.1142/9781944659561_0024

R. Jarrow, Arkadev Chatterjea

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引用次数: 0

摘要

以下部分包括:介绍，假设，两期模型无套利演化，零息债券价格和套利，市场定价，地板定价，各种利率衍生品的估值，多因素，多期模型，远期，期货和掉期，远期利率协议，欧元期货，远期和期货利率比较，汇总汇，附录链接二项HJM模型和HJM Libor模型案例，问题和问题

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Multiperiod Binomial HJM Model

The following sections are included:IntroductionThe AssumptionsThe Two-Period ModelArbitrage-Free EvolutionsZero-Coupon Bond Prices and MartingalesCaplet PricingFloorlet PricingValuing Various Interest Rate DerivativesMultiple FactorsThe Multiperiod ModelForwards, Futures, and SwaptionsForward Rate AgreementsEurodollar FuturesComparing Forward and Futures RatesSwaptionsSummaryAppendixLinking the Binomial HJM Model and the HJM Libor ModelCasesQuestions and Problems

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来源期刊

An Introduction to Derivative Securities, Financial Markets, and Risk Management

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