December 2015
Intermediate to advanced
368 pages
8h 7m
English
Content preview from Finance, Economics, and Mathematics
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Part TwoTerm Structure of Interest Rates
The price 
at time t of a default-free zero-coupon bond with unit face value maturing at time s is given by the equation
where 
is the short interest rate, 
is a Wiener process constituting a source of risk, and 
is the market price of risk. (page 38)
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