Interest Rate Models

 

  1. Vasicek(1977) Equilibrium Bond Prices

  2. Cox(1985) Theory of Term Structure of Interest Rates

 

  1. Duffie -- Kan(1996) Yeild Factor Model

  2. Dai-Singleton --Specification of Affine Structure Models

  3. Heath, Jarrow, Morton (1990)

  1. Rendleman, Bartter 1980

  2. Ho and Lee(1986)

  3. Black, Derman, Toy Model (1990)

  1. Heath Jrrrow Morton (1992)

  2. Brace (1997)

  3. Term Structure Derivative Pricing Miltersen

  1. Hull(2009)

  2. Rebonato(1996)

  3. Jarrow(2002)

  4. James-Webber(2000)

  1. Litterman-Scheinkmam

  2. Bliss(1997)