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Interest-Rate Dynamics

In: Pricing Derivative Securities

Author

Listed:
  • T. W. Epps

    (University of Virginia, USA)

Abstract

The following sections are included:The Forward-Rate ModelThe One-Factor HJM ModelAllowing Additional Risk SourcesImplementation and ApplicationsPricing a Sure Cash ReceiptEuropean Options on the Money FundOptions on Discount BondsOptions on Coupon-Paying BondsSwaps and SwaptionsFutures/Forward Prices under Stochastic RatesEquity/Index Options under Stochastic Rates

Suggested Citation

  • T. W. Epps, 2000. "Interest-Rate Dynamics," World Scientific Book Chapters, in: Pricing Derivative Securities, chapter 10, pages 455-480, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812792914_0010
    as

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