Interest Rate Modelling

  • Moorad Choudhry
  • Didier Joannas
  • Richard Pereira
  • Rod Pienaar
Part of the Finance and Capital Markets Series book series (FCMS)

Abstract

Chapter 4 introduced the concept of the yield curve. The analysis and valuation of debt market instruments revolves around the yield curve. Yield curve or term structure modelling has been extensively researched in the financial economics literature; it is possibly the most heavily covered subject in that field. It is not possible to deliver a comprehensive summary in just one chapter, but our aim is to cover the basic concepts. As ever, interested readers are directed to the bibliography, which lists the more accessible titles in this area.

Keywords

Income Hull Volatility Librium Hedging 

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Selected References and Bibliography

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Copyright information

© Moorad Choudhry, Didier Joannas, Richard Pereira and Rod Pienaar 2005

Authors and Affiliations

  • Moorad Choudhry
    • 1
  • Didier Joannas
    • 2
  • Richard Pereira
    • 3
  • Rod Pienaar
    • 4
  1. 1.KBC Financial ProductsUK
  2. 2.Hong KongChina
  3. 3.Nomura plcUK
  4. 4.UBS AGUK

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