November 1998
Intermediate to advanced
220 pages
6h 36m
English
Content preview from Fixed Income and Interest Rate Derivative Analysis
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110 FIXED INCOME AND INTEREST RATE DERIVATIVE ANALYSIS
7.6
Further reading
1. Black, F. (1995) 'Interest Rates as Options',
The Journal of Finance,
50(7).
2. Black, F., Derman, E. and Toy (1990) 'A One-Factor
Interest Rates and Its Application to Treasury Bond
Financial Analysts Journal.
3. Kirikos, G. and D. Novak (1997) 'Convexity Conundrums',
RISK,
lO(3).
Model of
Options',
7.7
Questions
1. Using US Treasury 'strip' prices from the WSJ, construct a quarterly
BDT tree model with constant volatility of 10% p.a. that fits these
prices.
2. Design an interest rate option, such as a ...
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