Interest Rate Models

In this section

• Short-Rate Models
  Review equilibrium short-rate models commonly used to describe interest rate dynamics.
  • Vasicek Model
    Understand the Vasicek short-rate model and its role in fixed income pricing.
  • Cox-Ingersoll-Ross (CIR) Model
    Review the CIR model and how it is used to model positive short-rate dynamics.
• Heath-Jarrow-Morton (HJM) Framework
  Study the HJM framework for modeling the evolution of the full forward-rate curve.