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Titlebook: Interest Rate Dynamics, Derivatives Pricing, and Risk Management; Lin Chen Book 1996 Springer-Verlag Berlin Heidelberg 1996 Derivative.Der

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發(fā)表于 2025-3-21 17:57:30 | 只看該作者 |倒序?yàn)g覽 |閱讀模式
書目名稱Interest Rate Dynamics, Derivatives Pricing, and Risk Management
編輯Lin Chen
視頻videohttp://file.papertrans.cn/471/470899/470899.mp4
叢書名稱Lecture Notes in Economics and Mathematical Systems
圖書封面Titlebook: Interest Rate Dynamics, Derivatives Pricing, and Risk Management;  Lin Chen Book 1996 Springer-Verlag Berlin Heidelberg 1996 Derivative.Der
描述There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives pricing fonnulas based on each type of model of the tenn structure. The no-arbitrage models are characterized by the work of Ho and Lee (1986), Heath, Jarrow, and Morton (1992), Hull and White (1990 and 1993), and Black, Dennan and Toy (1990). Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest rates. There are a number of disadvantages with their model. First, the model describes the whole volatility structure by a sin- gle parameter, implying a number of unrealistic features. Furthennore, the model does not incorporate mean reversion. Black-Dennan-Toy (1990) develop a model along tbe lines of Ho and Lee. They eliminate some of the problems of Ho and Lee (1986) but create a new one: for a certain specification of the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuou
出版日期Book 1996
關(guān)鍵詞Derivative; Derivatives Pricing; Hedging; Risikomanagement; Risk Management; Term Structure; Zinsstruktur
版次1
doihttps://doi.org/10.1007/978-3-642-46825-4
isbn_softcover978-3-540-60814-1
isbn_ebook978-3-642-46825-4Series ISSN 0075-8442 Series E-ISSN 2196-9957
issn_series 0075-8442
copyrightSpringer-Verlag Berlin Heidelberg 1996
The information of publication is updating

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ion. The indirect costs, such as lost time from work, are similar. The total cost of antiulcer medications is estimated to be at least $3 billion/yr in the United States. This chapter reviews the changing epidemiology of PUD, its causes, and its management.
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Lin Chenion. The indirect costs, such as lost time from work, are similar. The total cost of antiulcer medications is estimated to be at least $3 billion/yr in the United States. This chapter reviews the changing epidemiology of PUD, its causes, and its management.
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Lin Chenion. The indirect costs, such as lost time from work, are similar. The total cost of antiulcer medications is estimated to be at least $3 billion/yr in the United States. This chapter reviews the changing epidemiology of PUD, its causes, and its management.
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Lin Chenres, and serves during follow-up. The diagnostic usefulness of the radiograph is maximized by the integrating radiological findings with clinical features of the individual patient [.]. In this chapter, we review the more important radiological principles regarding missed lung lesions in a variety o
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Book 1996 along tbe lines of Ho and Lee. They eliminate some of the problems of Ho and Lee (1986) but create a new one: for a certain specification of the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuou
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