Hughston, LP; (1996) Vasicek and Beyond: Approaches to Building and Applying Interest Rate Models, edited by L.P. Hughston. Risk Publications, London

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## Abstract

From the cover: The book brings together twenty-two important research papers on building yield curve models and valuing interest rate derivatives. Editor Lane P. Hughston places the theory of interest rates in the context of the general theory of dynamic asset pricing, and reviews ket concepts and problems in the valuation of interest rate derivatives.

Type: | Book |
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Title: | Vasicek and Beyond: Approaches to Building and Applying Interest Rate Models, edited by L.P. Hughston |

ISBN: | 1899332502 |

ISBN-13: | 9781899332502 |

Additional information: | Vasicek and Beyond: Approaches to Building and Applying Interest Rate Models, edited by L.P. Hughston. The following material authored or co-authored by L.P. Hughston appears in this volume: Introduction, by L.P.Hughston, xiii-xxxii; Positive Interest, by B. Flesaker & L.P. Hughston, Chapter 21, 343-350; and Positive Interest: Foreign Exchange, by B. Flesaker & L.P. Hughston, Chapter 22, 351-367. |

Keywords: | interest rate models, interest rate term structure, yield curves, Heath Jarrow Morton model |

UCL classification: | UCL > School of BEAMS > Faculty of Maths and Physical Sciences > Mathematics |

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