2001 | OriginalPaper | Buchkapitel
One-factor short-rate models
verfasst von : Damiano Brigo, Fabio Mercurio
Erschienen in: Interest Rate Models Theory and Practice
Verlag: Springer Berlin Heidelberg
Enthalten in: Professional Book Archive
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The theory of interest-rate modeling was originally based on the assumption of specific one-dimensional dynamics for the instantaneous spot rate process r. Modeling directly such dynamics is very convenient since all fundamental quantities (rates and bonds) are readily defined, by no-arbitrage arguments, as the expectation of a functional of the process r.