| 书目名称 | Interest Rate Dynamics, Derivatives Pricing, and Risk Management | | 编辑 | Lin Chen | | 视频video | | | 丛书名称 | Lecture Notes in Economics and Mathematical Systems | | 图书封面 |  | | 描述 | There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. And there are, correspondingly, two 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) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest rates. There are a number of disadvantages with their model. First, the model describes the whole volatility structure by a sin gle parameter, implying a number of unrealistic features. Furthennore, the model does not incorporate mean reversion. Black-Dennan-Toy (1990) develop a model along tbe lines of Ho and Lee. They eliminate some of the problems of Ho and Lee (1986) but create a new one: for a certain specification of the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuou | | 出版日期 | Book 1996 | | 关键词 | Derivative; Derivatives Pricing; Hedging; Risikomanagement; Risk Management; Term Structure; Zinsstruktur | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-642-46825-4 | | isbn_softcover | 978-3-540-60814-1 | | isbn_ebook | 978-3-642-46825-4Series ISSN 0075-8442 Series E-ISSN 2196-9957 | | issn_series | 0075-8442 | | copyright | Springer-Verlag Berlin Heidelberg 1996 |
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