The Basics of Stochastic Calculus Brownian Motion Stochastic Integrals Stochastic Differentials and Ito''s Lemma Multi-Factor Extensions Martingales The Martingale Representation Theorem Changing Measures with Binomial Models Change of Measures under Brownian Filtration The Martingale Representation Theorem A Complete Market with Two Securities Replicating and Pricing of Contingent Claims Multi-Factor Extensions A Complete Market with Multiple Securities The Black-Scholes Formula Notes Interest Rates and Bonds Interest Rates and Fixed-Income Instruments Yields Zero-Coupon Bonds and Zero-Coupon Yields Forward Rates and Forward-Rate Agreements Yield-Based Bond Risk Management The Heath-Jarrow-Morton Model Lognormal Model: The Starting Point The HJM Model Special Cases of the HJM Model Estimating the HJM Model from Yield Data A Case Study with a Two-Factor Model Monte Carlo Implementations Forward Prices Forward Measure Black''s Formula for Call and Put Options Numeraires and Changes of Measure Notes Short-Rate Models and Lattice Implementation From Short-Rate Models to Forward-Rate Models General Markovian Models Binomial Trees of Interest Rates A General Tree-Building Procedure The LIBOR Market Model LIBOR Market Instruments The LIBOR Market Model Pricing of Caps and Floors Pricing of Swaptions Specifications of the LIBOR Market Model Monte Carlo Simulation Method Calibration of LIBOR Market Model Implied Cap and Caplet Volatilities Calibrating the LIBOR Market Model to Caps Calibration to Caps, Swaptions, and Input Correlations Calibration Methodologies Sensitivity with Respect to the Input Prices Notes Volatility and Correlation Adjustments Adjustment due to Correlations Adjustment due to Convexity Timing Adjustment Quanto Derivatives Notes Affine Term Structure Models An Exposition with One-Factor Models Analytical Solution of Riccarti Equations Pricing Options on Coupon Bonds Distributional Properties of Square-Root Processes Multi-Factor Models Swaption Pricing under ATSMs Notes References Index Yields Zero-Coupon Bonds and Zero-Coupon Yields Forward Rates and Forward-Rate Agreements Yield-Based Bond Risk Management The Heath-Jarrow-Morton Model Lognormal Model: The Starting Point The HJM Model Special Cases of the HJM Model Estimating the HJM Model from Yield Data A Case Study with a Two-Factor Model Monte Carlo Implementations Forward Prices Forward Measure Black''s Formula for Call and Put Options Numeraires and Changes of Measure Notes Short-Rate Models and Lattice Implementation From Short-Rate Models to Forward-Rate Models General Markovian Models Binomial Trees of Interest Rates A General Tree-Building Procedure The LIBOR Market Model LIBOR Market Instruments The LIBOR Market Model Pricing of Caps and Floors Pricing of Swaptions Specifications of the LIBOR Market Model Monte Carlo Simulation Method Calibration of LIBOR Market Model Implied Cap and Caplet Volatilities Calibrating the LIBOR Market Model to Caps Calibration to Caps, Swaptions, and Input Correlations Calibration Methodologies Sensitivity with Respect to the Input Prices Notes Volatility and Correlation Adjustments Adjustment due to Correlations Adjustment due to Convexity Timing Adjustment Quanto Derivatives Notes Affine Term Structure Models An Exposition with One-Factor Models Analytical Solution of Riccarti Equations Pricing Options on Coupon Bonds Distributional Properties of Square-Root Processes Multi-Factor Models Swaption Pricing under ATSMs Notes References Index t;P>Binomial Trees of Interest Rates A General Tree-Building Procedure The LIBOR Market Model LIBOR Market Instruments The LIBOR Market Model Pricing of Caps and Floors Pricing of Swaptions Specifications of the LIBOR Market Model Monte Carlo Simulation Method Calibration of LIBOR Market Model Implied Cap and Caplet Volatilities Calibrating the LIBOR Market Model to Caps Calibration to Caps, Swaptions, and Input Correlations Calibration Methodologies Sensitivity with Respect to the Input Prices Notes Volatility and Correlation Adjustments Adjustment due to Correlations Adjustment due to Convexity Timing Adjustment Quanto Derivatives Notes Affine Term Structure Models An Exposition with One-Factor Models Analytical Solution of Riccarti Equations Pricing Options on Coupon Bonds Distributional Properties of Square-Root Processes Multi-Factor Models Swaption Pricing under ATSMs Notes References Index > Adjustment due to Convexity Timing Adjustment Quanto Derivatives Notes Affine Term Structure Models An Exposition with One-Factor Models Analytical Solution of Riccarti Equations Pricing Options on Coupon Bonds Distributional Properties of Square-Root Processes Multi-Factor Models Swaption Pricing under ATSMs Notes References Index.