Valuing Bonds with Min Peng

Riccati Equations and Examples

Some MathCAD worksheets in which we replicate others' results:

    A. Balduzzi et. al.

    B. Cathcart

    C. Default Probability

    D. Valuation

    E. Valuation 1

A Theory of the Term Structure by Cox, Ingersoll and Ross

A proposal for empirical models of interest rates