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- W200728851 abstract "This chapter surveys the literature on fixed-income pricing models, including dynamic term-structure models, and interest-rate sensitive, derivative pricing models. Our overview of conceptual approaches highlights the tradeoffs that have emerged between the complexity of the probability model for the “risk factors≓, data availability, the pricing objective, and the tractability of the resulting pricing model. Initially, we examine term-structure models that price both bonds (default-free and defaultable) and fixed-income derivatives with payoffs in terms of prices or yields on these bonds. These include affine, quadratic-Gaussian, and various stochastic volatility models of the term structure. Then we turn to models designed to price fixed-income derivatives, taking the current yield curve as an input into the pricing framework. These include models based on forward rates and the LIBOR and Swaption Market models." @default.
- W200728851 created "2016-06-24" @default.
- W200728851 creator A5018491512 @default.
- W200728851 creator A5045976550 @default.
- W200728851 date "2003-01-01" @default.
- W200728851 modified "2023-09-30" @default.
- W200728851 title "Chapter 20 Fixed-income pricing" @default.
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- W200728851 doi "https://doi.org/10.1016/s1574-0102(03)01029-x" @default.
- W200728851 hasPublicationYear "2003" @default.
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