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Finance / Economics / Black–Derman–Toy model / Volatility / Yield curve / Interest rate cap and floor / Heath–Jarrow–Morton framework / BDT / Vasicek model / Mathematical finance / Fixed income analysis / Financial economics


Document Date: 2009-09-25 09:44:59

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Cox / Taylor & Francis Ltd / /

Country

Canada / /

Currency

USD / /

Facility

WEIDONG TIAN University of Waterloo / /

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ef cient algorithm / /

Organization

Social Science and Humanities Research Council of Canada and the Natural Sciences / University of Waterloo / Natural Sciences and Engineering Research Council of Canada / /

Person

Chonghui Liu / Ken Vetzal / Fred Guan / George Lai / Last Theorem / David Li / Houben Huang / /

Position

modi ed BDT model / /

ProvinceOrState

Ontario / /

Technology

ef cient algorithm / Information Technology / /

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http /

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