Valuation of Interest-Sensitive Financial Instruments: SOA Monograph M-FI96-1ISBN: 978-1-883249-15-1
Paperback
155 pages
November 1996
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Preface.
Acknowledgments.
1. Spot Interest Rates, Forward Interest Rates, Short Rate, and Yield-to-Maturity.
2. An Introduction to Valuation of Fixed and Interest-Sensitive Cash Flow.
3. Discrete-Time One-Factor Models.
4. Continuous-Time One-Factor Models.
5. Solution Approaches to Single-Factor Models.
6. Multi-Factor Continuous-Time Models.
7. Multi-Factor Discrete-Time Models.
8. Simulation Approaches.
Bibliography.
Solution to Practice Exercises.
Index.
Acknowledgments.
1. Spot Interest Rates, Forward Interest Rates, Short Rate, and Yield-to-Maturity.
2. An Introduction to Valuation of Fixed and Interest-Sensitive Cash Flow.
3. Discrete-Time One-Factor Models.
4. Continuous-Time One-Factor Models.
5. Solution Approaches to Single-Factor Models.
6. Multi-Factor Continuous-Time Models.
7. Multi-Factor Discrete-Time Models.
8. Simulation Approaches.
Bibliography.
Solution to Practice Exercises.
Index.
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