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Fixed Income > Interest Rate Models

Fixed Income > Interest Rate Models

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Published by: api-27174321 on Oct 18, 2008
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03/18/2014

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I nterest Rate Models
Copyright \u00a9 1996-2006
Investment Analytics
I nterest Rate Models
Copyright \u00a9 1996-2006 Investment Analytics
I nterest Rate Models
Slide: 2

\ue000Model types, characteristics
\ue000Model Taxonomy
\ue000One-Factor models

\ue000
Vasicek
\ue000
Ho & Lee
\ue000
Hull & White
\ue000
Black-Derman-Toy Model
Two Factor Models
\ue000
Fong & Vasicek
\ue000
Longstaff & Scwartz
\ue000
Hull & White
\ue000
Heath-Jarrow-Morton
\ue000
I nterest Rate Models
Copyright \u00a9 1996-2006 Investment Analytics
I nterest Rate Models
Slide: 3
Used to:

\ue000Value derivatives, esp. non-standard
\ue000Compute hedge ratios
\ue000Assess portfolio risk

\ue000
Provides a consistent framework for
valuation, hedging & risk-management

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