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The Handbook of Fixed Income Securities, Eighth Edition, 8th Edition by Steven V. Mann, Frank J. Fabozzi

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CHAPTERTHIRTY-NINETERM STRUCTURE MODELING WITH NO-ARBITRAGE INTEREST RATE MODELS

GERALD W. BUETOW, JR., PH.D., CFA

Chief Investment OfficerInnealta Capital

BRIAN J. HENDERSON, PH.D., CFA

Assistant Professor of FinanceThe George Washington University

Interest rate models are important tools used by practitioners for purposes including pricing of fixed income securities, pricing interest rate contingent claims, and evaluation of interest rate risk. Although there are many interest rate models, the models vary by their assumptions regarding interest rate dynamics and their degree of specificity. Due to differing assumptions about the interest rate process, each model has different properties that have important implications for their use in valuation. ...

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