Autor: Ao. Univ.-Prof. Dr. Manfred Frühwirth
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Bootstrapping Zero-Coupon Rates from the Yield Curve
After a short motivation of the term structure of zero-coupon rates, the article describes how to derive the zero-coupon rates from quoted instruments with different maturities. The focus is on (...)
This article first describes the nature of an option gamma as a second partial derivative of the option value with respect to the underlying price. The article also shows the analytical formulas for (...)
Forward Interest Rates
The article describes the concept of one-period and multi-period forward interest rates. Moreover, the article shows the relationship between different types of interest rates and related variables. (...)
Ho/Lee (1986) Model
The Ho/Lee (1986) model is able to match the initial term structure of interest rates in the model to the term structure currently observed on the financial market. This article describes the (...)