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An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
Francis X. Diebold / Glenn D. Rudebusch / Jens H. E. Christensen
fixed income / interest ratesResource overview

An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model

Paper2008

by Francis X. Diebold, Glenn D. Rudebusch, Jens H. E. Christensen

Tags
fixed incomeinterest ratesmathematical financeterm structure models

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

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  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

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  3. The Binomial Model

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  4. Market Model and Risk-Neutral Valuation

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  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

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  3. The Black-Scholes PDE, Formula and Implied Volatility

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