二叉树和期限结构的一些文章。

稍后编辑内容介绍！！

Binomial_term_structure_Model.pdf
Binomial Term Structure Models
by Simon Benninga and Zvi Wiener
In this article, the authors develop several discrete versons of term structure
models and study their major properties. We demonstrate how to program
and calibrate such models as Black-Derman-Toy and Black-Karasinski. In
addition we provide some simple methods for pricing options on interest
rates.

TermStructure_Models_complete_derivation.pdf
YIELD CURVE ESTIMATION AND PREDICTION WITH VASICEK MODEL
by DERV_IS BAYAZIT
The scope of this study is to estimate the zero-coupon bond yield curve of
tomorrow by using Vasicek yield curve model with the zero-coupon bond yield
data of today. The raw data of this study is the yearly simple spot rates of the
Turkish zero-coupon bonds with di erent maturities of each day from July 1,
1999 to March 17, 2004. We completed the missing data by using Nelson-Siegel
yield curve model and we estimated tomorrow yield curve with the discretized
Vasicek yield curve model.


VasicekModel_Stochastic_vol.pdf
STOCHASTIC VOLATILITY, A NEW APPROACH FOR VASICEK MODEL WITH STOCHASTIC VOLATILITY
by SERKAN ZEYTUN
In the original Vasicek model interest rates are calculated assuming that
volatility remains constant over the period of analysis. In this study, we constructed
a stochastic volatility model for interest rates. In our model we assumed
not only that interest rate process but also the volatility process for interest rates
follows the mean-reverting Vasicek model. We derived the density function for
the stochastic element of the interest rate process and reduced this density function
to a series form. The parameters of our model were estimated by using the
method of moments. Finally, we tested the performance of our model using the
data of interest rates in Turkey.

Lecture_Note_Bin_Models.pdf
Lecture 14: Fixed Income Derivatives and Term-Structure Models

BDT_Model_calibration_Bin_tree.pdf
Implementation of the Black, Derman and Toy Model
by Christoph Klose, Li Chang Yuan