<t>Hello:I need to build a function B(0,t) - Zero Coupon Bond price today maturiting at time t - derived from observed market data. I am using Matlab's Fixed Income functions to derive zero(spot) rates from market prices through bootstrapping. Now, how do I get a smooth function of maturity? Essenti...

This explains. Thanks

Why Interest rate *must be* modeled as a mean-reverting process? Is there a logical/analytical reason to it or is it that it turns out to be following such a process?Thanks

Even if one assumes that this(my last post) is the answer, why is modeling IR evolution is more complicated than modeling a stock?

Is it because one might not find the right traded securities to form a synthetic set of cash-flows required to price an IR derivative using the no-arbitrage argument?

Why are interest rate derivatives are difficult to price compared to say their equity counterparts?

Isn't Stochastics knowledge at the level of Neftci enough? If not any other good reference? I always thought that for financial quant. analysis, a good introduction to stoch. calculus is enough.

Thanks for the inputs jommi.

Sorry! I meant a measure of liquidity measure - just like VaR is a measure of market risk.Thanks Diskiss

Thanks Jommi! Can you name some liquidity measures for IR derivatives aswell? Also, any references of books/resources?Thanks

Can someone throw some light on market and liquidity risk measures for IR derivative portfolios? Is it VaR, Duration etc. or are there any other industry standard measures? Also, any good references to IR Derivative pricing models? Greatly appreciate your help.Thanks,sp

<t>Getting a GRA for QCF students is not very easy. Though GTech is very research oriented and is well-funded in most of the departments, QCF program doesn't seem to get benefited in terms of funding. As the program is mulit-disciplinary, no one department takes responsibility (except for the math d...