Titlebook: Interest Rate Modelling; Simona Svoboda Book 2004 Palgrave Macmillan, a division of Macmillan Publishers Limited 2004 derivatives.dynamics

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978-1-349-51732-9Palgrave Macmillan, a division of Macmillan Publishers Limited 2004

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Interest Rate Modelling978-1-4039-4602-7Series ISSN 2946-2010 Series E-ISSN 2946-2029

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Finance and Capital Markets Serieshttp://image.papertrans.cn/i/image/470901.jpg

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Calibrating the Hull—White extended Vasicek approachIn §7.3 we examine the pricing of contingent claims within the HW-extended Vasicek framework. The time t price of a European call option, with expiry time T, t, T ∈ [0, T.] and strike price X, on a zero coupon bond of maturity s is given by.:

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Calibrating the Black, Derman and Toy discrete time modelIn Chapter 8 we examined the formulation of the BDT model within a (discrete time) binomial lattice as well as its continuous time equivalent. The short-term interest rate process takes the form.:

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