Harry Zheng (Business Studies, University of Edinburgh)

Implementation of interest rate models
Wednesday 23 June 1999 at 15.30, JCMB 6324

Abstract

In this talk we will discuss implementation of Black-Derman-Toy model with linear approximation method and sensitivity of bond option prices to yield volatilities. We will also suggest key rate duration concept to callable bonds and its implication on bond portfolio management.

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