Check back for updates, will upload source code for model implementation
Interest Rate Models
Equilibrium term structure models - are factor models that seek to describe the dynamics of the term structure by using fundamental economic variables that are assumed to affect interest rates.
1. CIR (Cox-Ingersoll-Ross) Model [dr = a (b − r ) dt + σ √r dz]
2. Vaiseck Model [dr = a (b − r ) dt + σ dz]
Arbitrage-free term structure models - term structure models use observed market prices of a reference set of financial instruments, assumed to be correctly priced, to model the market yield curve.
3. Ho-Lee Model
4. HJM Model
Credit Models
1. Structural
2. Reduced Form
3. Pricing Credit Default Baskets
Option Pricing Models
1. Binomial/Trinomial
2. Black-Scholes Model
Maket Risk Models
1. VaR
Interest Rate Models
Equilibrium term structure models - are factor models that seek to describe the dynamics of the term structure by using fundamental economic variables that are assumed to affect interest rates.
1. CIR (Cox-Ingersoll-Ross) Model [dr = a (b − r ) dt + σ √r dz]
2. Vaiseck Model [dr = a (b − r ) dt + σ dz]
Arbitrage-free term structure models - term structure models use observed market prices of a reference set of financial instruments, assumed to be correctly priced, to model the market yield curve.
3. Ho-Lee Model
4. HJM Model
Credit Models
1. Structural
2. Reduced Form
3. Pricing Credit Default Baskets
Option Pricing Models
1. Binomial/Trinomial
2. Black-Scholes Model
Maket Risk Models
1. VaR