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- W4249465614 abstract "The purpose of this chapter is modest—to develop a binomial procedure for valuing interest rate derivative contracts where the short-term interest rate (“short rate”) is the single underlying source of interest rate uncertainty. To begin, it discusses a number of constant-parameter short rate processes to lay a foundation for interest rate behaviour. While these models are often useful in developing economic intuition regarding interest rate behaviour, they produce zero-coupon bond values that are different from the observed market prices, seemingly giving rise to arbitrage opportunities. With the mechanics of no-arbitrage pricing in hand, the chapter then turns to valuing zero-coupon and coupon-bearing bonds, callable bonds, putable bonds, and bond options." @default.
- W4249465614 created "2022-05-12" @default.
- W4249465614 date "2012-01-02" @default.
- W4249465614 modified "2023-09-27" @default.
- W4249465614 title "Valuing Interest Rate Products Numerically" @default.
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- W4249465614 doi "https://doi.org/10.1002/9781119201984.ch20" @default.
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