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Lectures on Numerical Methods in Bifurcation Problems
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The Solution of the Pyramid Problem
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Walden by Henry David Thoreau
Methods for Finding Zeros in Polynomials
Lectures on Stochastic Flows and Applications
Educational Psychology by Edward L. Thorndike
The Last Days of Tolstoy by V. G. Chertkov
Globalization and Responsibility
Lectures on Siegel Modular Forms and Representation by Quadratic Forms
Lectures on Topics In One-Parameter Bifurcation Problems
History of the Incas by Pedro Sarmiento de Gamboa
Linear Algebra: Theorems and Applications
Lectures on Stochastic Differential Equations and Malliavin Calculus
A Short Biographical Dictionary of English Literature
Lectures on Sieve Methods and Prime Number Theory
Dollars and Sense by William Crosbie Hunter
The Theory of the Theatre by Clayton Hamilton
The Mathematics of Investment
Occupiers of Wall Street: Losers or Game Changers
The Solution of the Pyramid Problem
Lectures on Moduli of Curves
Walden by Henry David Thoreau
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Gerald W. Buetow Jr, James Sochacki - Term-Structure Models Using Binomial Trees
Posted on 2010-07-04
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More Term-structure models are essential for the valuation of interest rate dependent claims. Although term-structure experts have produced a variety of useful models, they involve complex mathematics, which limits their accessibility to investment practitioners who are not engaged in this area of specialization. Moreover, the original “journal” versions of these models and their subsequent descriptions in text books often abstract from many important details necessary for implementation. These circumstances make it difficult for investors to compare the prices of interest rate dependent claims, to assess the appropriateness of alternative term-structure software products, and to build their own term-structure models. With this monograph, Gerald W. Buetow, Jr., CFA, and James Sochacki go a long way toward ameliorating this problem. They begin with a concise but hardly superficial overview of interest rate modeling, and they introduce the binomial tree framework. Having thoroughly prepared the reader, they next present the five most important no-arbitrage term-structure models: • Ho–Lee Model. This model was the first no-arbitrage term-structure model. It assumes constant and identical volatility for all spot and forward rates and does not incorporate mean reversion. • Hull–White Model. This model extends the Ho–Lee model to allow for mean reversion. • Kalotay–Williams–Fabozzi Model. This model assumes a lognormal distribution and eliminates the problem of negative short rates, which can occur with the Ho–Lee and Hull–White models. • Black–Karasinski Model. An extension of the Kalotay–Williams–Fabozzi Model, this model controls the growth in the short rate. • Black–Derman–Toy Model. This model permits independent and timevarying spot-rate volatilities. Please appreciate my work to rock these links: if you can not, for whatever reason, then downloaded from these links, then download this: No another mirrors, please! >>> Read RULES >>> Download many interesting free eBooks HERE <<< Note 1: If you can not open the downloaded file, and your Adobe Reader reports on the damaged file, then your Adobe Reader. Lastest version of Adobe Reader opens this book perfectly. Note 2: Links not work? Send me PM and I'll try to help you.
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