interest arbitrage
1.As for the dynamic study of term structure of interest rates, the dissertation divided the models into equilibrium models and no-arbitrage models according to the study frame of stochastic term structure of interest rates, where the former includes one-factor models such as Merton, Vasicek, CIR models and multi-factors models such as Brennan-Schwartz, Fong-Vasicek, Longstaff-Schwartz models, the latter include Ho-Lee, Hull-White, BDT and HJM class models.
2.This paper presents a no-arbitrage model of closed-form approximation for valuing basket options under a stochastic interest rate economy.
