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1.
Introduction to Bond Markets
Bonds
Fixed-Interest
Bonds
STRIPS
Bonds with
Built-in Options
Index-Linked
Bonds
General Theories
of Interest Rates
2. Arbitrage-Free Pricing
Example of
Arbitrage: Parallel Yield Curve Shifts
Fundamental
Theorem of Asset Pricing
The Long-Term
Spot Rate
Factors
A Bond Is a
Derivative
Put-Call Parity
Types of Model
3. Discrete-Time Binomial Models
A Simple
No-Arbitrage Model
The Ho and Lee
No-Arbitrage Model
Recombining
Binomial Model
Models for the
Risk-Free Rate of Interest
Futures Contracts
4. Continuous-Time Interest Rate Models
One-Factor Models
for the Risk-Free Rate
The Martingale
Approach
The PDE Approach
to Pricing
Further Comment
on the General Results
The Vasicek Model
The Cox-Ingersoll-Ross
Model
A Comparison of
the Vasicek and Cox-Ingersoll-Ross Models
Affine Short-Rate
Models
Other Short-Rate
Models
Options on
Coupon-Paying Securities
5. No-Arbitrage Models
Markov Models
The
Heath-Jarrow-Morton (HJM) Framework
Relationship
between HJM and Markov Models
6. Multifactor Models
Affine Models
Consols Models
Multifactor
Heath-Jarrow-Morton Models
Options on
Coupon-Paying Securities
Quadratic
Term-Structure Models (QTSMs)
Other Multifactor
Models
7. The Forward-Measure Approach
A New Numeraire
Change of Measure
Derivative
Payments
A Replicating
Strategy
Evaluation of a
Derivative Price
Equity Options
with Stochastic Interest
8. Positive Interest
Mathematical
Development
The Flesaker and
Hughston Approach
Derivative
Pricing
Examples
9. Market Models
Market Rates of
Interest
LIBOR Market
Models: the BGM Approach
Simulation of
LIBOR Market Models
Swap Market
Models
10 Numerical Methods
Choice of Measure
Lattice Methods
Finite-Difference
Methods
Numerical
Examples
Simulation
Methods
11 Credit Risk
Structural Models
A Discrete-Time
Model
Reduced-Form
Models
Derivative
Contracts with Credit Risk
12 Model Calibration
Descriptive
Models for the Yield Curve
A General
Parametric Model
Estimation
Splines
Volatility
Calibration
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