A simple binomial no-arbitrage model of the term structure: with applications to the valuation of interest-sensitive options and interest-rate swaps
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | Undetermined |
| Published: |
New York, NY
New York Univ. Salomon Center, Leonard N. Stern School of Business
1991
|
| Series: | Monograph series in finance and economics
1991,4 |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 61 S. graph. Darst. |
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| 100 | 1 | |a O'Brien, Thomas J. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a A simple binomial no-arbitrage model of the term structure |b with applications to the valuation of interest-sensitive options and interest-rate swaps |c by Thomas J. O'Brien |
| 264 | 1 | |a New York, NY |b New York Univ. Salomon Center, Leonard N. Stern School of Business |c 1991 | |
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| 490 | 1 | |a Monograph series in finance and economics |v 1991,4 | |
| 830 | 0 | |a Monograph series in finance and economics |v 1991,4 |w (DE-604)BV002798028 |9 1991,4 | |
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Record in the Search Index
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| adam_text | Table of Contents
I. Introduction 1
A. Basic Ideas in No-Arbitrage Term Structure Models 1
B. The Discount Yield Curve 4
C. Theories of the Term Structure 4
II. Review: The Binomial Model, Bond Values,
and Interest Rates 9
A. The Binomial Model 9
B. The Need for a Stochastic Short Rate 12
C. The Need for a Theory of the Term Structure 16
III. The Binomial Consol Rate Term Structure
Model 17
A. The Consol Rate Process 17
B. Correlation of Single-Period Rates in a Single-Factor
Model 19
C. No-Arbitrage Valuation of Zero Coupon Bonds 20
D. Arbitrage 23
E. The No-Arbitrage Discount Yield Curve 24
F. No-Arbitrage Valuation of Coupon Bonds 26
G. Par Bonds 27
IV. The Valuation of Bond Options and Callable
Bonds 29
A. Actual Prices and Calibration 29
B. European Call on a Zero Coupon Bond 31
C. American Call on a Coupon Bond 32
D. Callable Bonds 34
V. The Valuation of Interest-Rate Swaps and
Swaptions 36
A. Interest-Rate Swaps 36
B. Swap Valuation 38
C. Swap Rates 40
D. Caps, Floors, and Collars 40
E. Swaptions 41
VI. The Binomial Consol Rate Model and other
Term Structure Theory 43
A. The Model and Risk Neutral Probabilities 43
B. Direct Form Single-Factor Models 45
C. The Ho-Lee Model 48
D. Other Partial Equilibrium Term Structure Models 52
E. Closed-Form and Preference-Free Bond Option
Models 53
VII. Conclusion 54
Appendix: Construction of the Interest Rate
Processes 55
References 58
Copyright 1991 New York University
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| publishDate | 1991 |
| publishDateSearch | 1991 |
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| publisher | New York Univ. Salomon Center, Leonard N. Stern School of Business |
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| spelling | O'Brien, Thomas J. Verfasser aut A simple binomial no-arbitrage model of the term structure with applications to the valuation of interest-sensitive options and interest-rate swaps by Thomas J. O'Brien New York, NY New York Univ. Salomon Center, Leonard N. Stern School of Business 1991 61 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Monograph series in finance and economics 1991,4 Monograph series in finance and economics 1991,4 (DE-604)BV002798028 1991,4 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021685938&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | O'Brien, Thomas J. A simple binomial no-arbitrage model of the term structure with applications to the valuation of interest-sensitive options and interest-rate swaps Monograph series in finance and economics |
| title | A simple binomial no-arbitrage model of the term structure with applications to the valuation of interest-sensitive options and interest-rate swaps |
| title_auth | A simple binomial no-arbitrage model of the term structure with applications to the valuation of interest-sensitive options and interest-rate swaps |
| title_exact_search | A simple binomial no-arbitrage model of the term structure with applications to the valuation of interest-sensitive options and interest-rate swaps |
| title_full | A simple binomial no-arbitrage model of the term structure with applications to the valuation of interest-sensitive options and interest-rate swaps by Thomas J. O'Brien |
| title_fullStr | A simple binomial no-arbitrage model of the term structure with applications to the valuation of interest-sensitive options and interest-rate swaps by Thomas J. O'Brien |
| title_full_unstemmed | A simple binomial no-arbitrage model of the term structure with applications to the valuation of interest-sensitive options and interest-rate swaps by Thomas J. O'Brien |
| title_short | A simple binomial no-arbitrage model of the term structure |
| title_sort | a simple binomial no arbitrage model of the term structure with applications to the valuation of interest sensitive options and interest rate swaps |
| title_sub | with applications to the valuation of interest-sensitive options and interest-rate swaps |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021685938&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV002798028 |
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