1. These applications of the lattice methodology are presented in Frank J. Fabozzi, Andrew Kalotay, and Michael Dorigan, “Yield Curves and Valuation Lattices” and “Using the Lattice Model to Value Bonds with Embedded Options, Floaters, Options, and Caps/Floors,” Chapters 13 and 14 in Frank J. Fabozzi (ed.), Interest Rate, Term Structure, and Valuation Modeling (Hoboken, NJ: Wiley, 2002).