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Table Of Contents

Introduction
2.1 Zero-Coupon Bonds
2.2 Interest Rates
2.2.1 Market Example: LIBOR
2.2.2 Simple vs. Continuous Compounding
2.2.3 Forward vs. Future Rates
2.4.2 Floating Rate Notes
2.4.3 Interest Rate Swaps
2.4.4 Yield and Duration
2.5 Market Conventions
2.5.1 Day-count Conventions
2.5.2 Coupon Bonds
2.5.3 Accrued Interest, Clean Price and Dirty Price
2.5.4 Yield-to-Maturity
2.6 Caps and Floors
2.7 Swaptions
Some Statistics of the Yield
3.1 Principal Component Analysis (PCA)
3.2 PCA of the Yield Curve
3.3 Correlation
Estimating the Yield Curve
4.1 A Bootstrapping Example
4.2 General Case
4.2.1 Bond Markets
4.2.2 Money Markets
4.2.3 Problems
4.2.4 Parametrized Curve Families
Why Yield Curve Models?
No-Arbitrage Pricing
6.1 Self-Financing Portfolios
6.2 Arbitrage and Martingale Measures
6.3 Hedging and Pricing
Short Rate Models
7.1 Generalities
7.2 Diffusion Short Rate Models
7.2.1 Examples
7.3 Inverting the Yield Curve
7.4 Affine Term Structures
7.5 Some Standard Models
7.5.1 Vasicek Model
7.5.2 Cox–Ingersoll–Ross Model
7.5.3 Dothan Model
7.5.4 Ho–Lee Model
7.5.5 Hull–White Model
7.6 Option Pricing in Affine Models
Forward Measures
9.1 T-Bond as Numeraire
9.2 An Expectation Hypothesis
9.3. OPTION PRICING IN GAUSSIAN HJM MODELS 101
9.3 Option Pricing in Gaussian HJM Models
Forwards and Futures
10.1 Forward Contracts
10.2 Futures Contracts
10.3 Interest Rate Futures
10.4. FORWARD VS. FUTURES IN A GAUSSIAN SETUP 109
10.4 Forward vs. Futures in a Gaussian Setup
Multi-Factor Models
11.1 No-Arbitrage Condition
11.2 Affine Term Structures
11.3 Polynomial Term Structures
11.4.2 Svensson Family
12.1. MODELS OF FORWARD LIBOR RATES 129
12.1 Models of Forward LIBOR Rates
12.1.1 Discrete-tenor Case
12.1.2 Continuous-tenor Case
13.1 Transition and Default Probabilities
13.1.1 Historical Method
13.1.2 Structural Approach
13.2 Intensity Based Method
13.2.1 Construction of Intensity Based Models
13.2.2 Computation of Default Probabilities
13.2.3 Pricing Default Risk
13.2.4 Measure Change
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Fixed Income Models

Fixed Income Models

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Published by oops4211

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Published by: oops4211 on May 03, 2011
Copyright:Attribution Non-commercial

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01/16/2013

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