Part Two
Term Structure of Interest Rates

The price c02-math-001 at time t of a default-free zero-coupon bond with unit face value maturing at time s is given by the equation

equation

where c02-math-002 is the short interest rate, c02-math-003 is a Wiener process constituting a source of risk, and c02-math-004 is the market price of risk. (page 38)

..................Content has been hidden....................

You can't read the all page of ebook, please click here login for view all page.
Reset
3.15.4.52