Interest Rate Modelling
by Simona Svoboda
Palgrave Macmillan © 2004 (288 pages)

Table of Contents
Interest Rate Modelling
Introduction
Part I - Interest Rate Models
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
Part II - Calibration
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
Closing Remarks
Bibliography
Index
List of Figures
List of Assumptions