DENT
发表于 2025-3-23 11:15:34
http://reply.papertrans.cn/48/4709/470899/470899_11.png
Overdose
发表于 2025-3-23 15:03:24
https://doi.org/10.1007/978-3-642-46825-4Derivative; Derivatives Pricing; Hedging; Risikomanagement; Risk Management; Term Structure; Zinsstruktur
Missile
发表于 2025-3-23 20:59:46
http://reply.papertrans.cn/48/4709/470899/470899_13.png
Concomitant
发表于 2025-3-23 22:39:18
Pricing Interest Rate Derivatives,In chapter 1, a three-factor model of interest rates was developed. In the model the three factors are 1) the current short rate, 2) the short-term mean of the short rate, and 3) the current volatility of the short rate. Furthermore, it was assumed that both the mean and the volatility of the short rate are stochastic and follow Feller processes.
GRAVE
发表于 2025-3-24 05:32:48
Managing Interest Rate Risk,The managing of interest rate risk is concerned with selecting which risk to be exposed to and which risk to be immunized against, assessing the risks of different securities, and constructing the portfolio with the specified risk return characteristics. Better managing of interest rate risk requires a better understanding of interest rate risk.
向外供接触
发表于 2025-3-24 09:19:18
Extensions of the Model,Taking a brief look at any interest rate time series such as Treasury Bill rates, one feature is significant: the time series appears to exhibit diffusion behaviors, punctuated by unanticipated jumps.
丑恶
发表于 2025-3-24 12:20:21
978-3-540-60814-1Springer-Verlag Berlin Heidelberg 1996
ZEST
发表于 2025-3-24 18:04:56
http://reply.papertrans.cn/48/4709/470899/470899_18.png
Fecal-Impaction
发表于 2025-3-24 22:07:42
Lecture Notes in Economics and Mathematical Systemshttp://image.papertrans.cn/i/image/470899.jpg
整体
发表于 2025-3-25 02:36:49
Book 1996o types of interest rate derivatives pricing fonnulas based on each type of model of the tenn structure. The no-arbitrage models are characterized by the work of Ho and Lee (1986), Heath, Jarrow, and Morton (1992), Hull and White (1990 and 1993), and Black, Dennan and Toy (1990). Ho and Lee (1986) i