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BOND PRICING, INTEREST-RATE PROCESSES, AND THE LIBOR MARKET MODEL

Ser-Huang Poon and Richard Stapleton

in Asset Pricing in Discrete Time: A Complete Markets Approach

Published in print:
2005
Published Online:
July 2005
ISBN:
9780199271443
eISBN:
9780191602559
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271445.003.0007
Subject:
Economics and Finance, Financial Economics

‘Bond Pricing, Interest-rate Processes, and the LIBOR Market Model’ uses the complete market, pricing kernel approach to value bonds, given stochastic interest rates. To value interest-rate ... More


Forward Rate Models

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0023
Subject:
Economics and Finance, Financial Economics

The drawbacks associated with short rate models have prompted various authors to propose models that use more than one state variable. In the method proposed by Heath-Jarrow-Morton (HJM), the entire ... More


Heath‐Jarrow‐Morton Models

Claus Munk

in Fixed Income Modelling

Published in print:
2011
Published Online:
September 2011
ISBN:
9780199575084
eISBN:
9780191728648
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199575084.003.0010
Subject:
Economics and Finance, Financial Economics

Instead of calibrating a simple diffusion model to match the observed yield curve, a more natural modelling approach is to start from the observed yield curve and then modelling its possible future ... More


Forward Rate Models

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
1998
Published Online:
November 2003
ISBN:
9780198775188
eISBN:
9780191595981
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198775180.003.0018
Subject:
Economics and Finance, Financial Economics

Here we present the Heath–Jarrow–Morton approach of modelling the evolution of the entire forward rate curve.


Analysis of Positively Valued Economic Time Series

Bernt P. Stigum

in Econometrics in a Formal Science of Economics: Theory and the Measurement of Economic Relations

Published in print:
2014
Published Online:
September 2015
ISBN:
9780262028585
eISBN:
9780262323109
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262028585.003.0007
Subject:
Economics and Finance, Econometrics

Chapter VII has two purposes. One is to study the methodological problems that arise in analysing positively valued time series in foreign exchange. The other is to contrast the analysis of time ... More


Valuing and Analyzing Fixed Income Derivatives

Koray D. Simsek and Halil Kiymaz

in Debt Markets and Investments

Published in print:
2019
Published Online:
June 2020
ISBN:
9780190877439
eISBN:
9780190877460
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190877439.003.0027
Subject:
Economics and Finance, Financial Economics

Derivatives valuation is based on the key principle of no-arbitrage pricing. This chapter presents valuation models for various types of fixed income derivatives, including forward rate agreements ... More


Bonds and Interest Rates

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2019
Published Online:
February 2020
ISBN:
9780198851615
eISBN:
9780191886218
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198851615.003.0019
Subject:
Economics and Finance, Econometrics

In this chapter the reader is introduced to the basic concepts of interest rate theory. Starting with a market for zero coupon bonds we define the relevant interest rates such as the short rate, the ... More


Bonds and Interest Rates

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
1998
Published Online:
November 2003
ISBN:
9780198775188
eISBN:
9780191595981
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198775180.003.0015
Subject:
Economics and Finance, Financial Economics

In this chapter, the reader is introduced to the basic facts and concepts concerning bond markets.


Derivatives Markets

Halil Kiymaz and Koray D. Simsek

in Debt Markets and Investments

Published in print:
2019
Published Online:
June 2020
ISBN:
9780190877439
eISBN:
9780190877460
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190877439.003.0009
Subject:
Economics and Finance, Financial Economics

Interest rate derivatives markets have enjoyed substantial growth since the late 1990s. This chapter discusses the development of these markets since 2000 and introduces the most popular interest ... More


Term Structure Models

Kerry E. Back

in Asset Pricing and Portfolio Choice Theory

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190241148
eISBN:
9780190241179
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190241148.003.0018
Subject:
Economics and Finance, Financial Economics

Bond yields and forward rates are defined. The fundamental PDE is derived. Affine term strucure models are explained, including the Vasicek model and the Cox‐Ingersoll‐Ross square root model. ... More


Molecular Assemblies, Probes, and Proteomics in Flow Cytometry

Steven W. Graves and John P. Nolan

in Flow Cytometry for Biotechnology

Published in print:
2005
Published Online:
November 2020
ISBN:
9780195183146
eISBN:
9780197561898
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780195183146.003.0013
Subject:
Chemistry, Physical Chemistry

The many proteins and nucleic acids encoded in the genome predominantly perform their functions as macromolecular assemblies. In fact, modern biomedical research often targets the interactions of ... More


Diffusion, Buffering, and Binding

Christof Koch

in Biophysics of Computation: Information Processing in Single Neurons

Published in print:
1998
Published Online:
November 2020
ISBN:
9780195104912
eISBN:
9780197562338
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780195139853.003.0017
Subject:
Computer Science, Mathematical Theory of Computation

In Chap. 9 we introduced calcium ions and alluded to their crucial role in regulating the day-to-day life of neurons. The dynamics of the free intracellular calcium is controlled by a number of ... More


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