English, Article edition: BOND MARKET MODEL ROBERTO BAVIERA

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/83253
Physical Description
  • article
Language
  • English

Edition details

Title
  • BOND MARKET MODEL
Author
  • ROBERTO BAVIERA
Physical Description
  • article
Notes
  • We describe the Bond Market Model, a multi-factor interest rate term structure model, where it is possible to price with Black-like formulas the three classes of over-the-counter plain vanilla options. We derive the prices of caps/​floors, bond options and swaptions. A comparison with Libor Market Model and Swap Market Model is discussed in detail, underlining advantages and limits of the different approaches.
  • HJM framework, term structure model, caps/​floors, bond options, swaptions
  • RePEc:wsi:ijtafx:v:09:y:2006:i:04:p:577-596
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment