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Published in:
Vanilla Bonds and Asset Swaps Read chapter Read first chapter

2017 | OriginalPaper | Chapter

9. Short Rate Models

Authors : Jörg Kienitz, Peter Caspers

Published in: Interest Rate Derivatives Explained: Volume 2

Publisher: Palgrave Macmillan UK

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Abstract

In this chapter, we consider two of the favourite short rate models, the Gaussian Short Rate, respectively Linear Gauss Markov (LGM), model and the Cox–Ingersoll–Ross (CIR) model.

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previous chapter Term Structure Models
next chapter A Gaussian Rates-Credit Pricing Framework
Literature
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Kammeyer, H., & Kienitz, J. (2012b). The Heston Hull White model II—Fourier transform and Monte Carlo simulation. Wilmott Magazine, 58, 34–45.
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Kienitz, J. (2014). Interest rate derivatives explained: Volume 1 products and markets. Palgrave McMillan.
Lichters, R., Stamm, R., & Gallagher, D. (2015). Modern derivatives pricing and credit exposure analysis—Theory and practice of CSA and XVA pricing. Palgrave McMillan: Exposure Simulation and Backtesting.
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Metadata
Title
Short Rate Models
Authors
Jörg Kienitz
Peter Caspers
Copyright Year
2017
Book
Interest Rate Derivatives Explained: Volume 2

Print ISBN: 978-1-137-36018-2

Electronic ISBN: 978-1-137-36019-9

Copyright Year: 2017

DOI
https://doi.org/10.1057/978-1-137-36019-9_9