Valuation of Interest-Sensitive Financial Instruments: SOA Monograph M-FI96-1
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.
Solution to Practice Exercises.
Craig B. Merrill is Associate Professor at Brigham Young University and the Grant Taggart Fellow of Insurance, Risk Management, and Financial Services.
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