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binomial tree with stochastic interest rates

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Mballack
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Joined: February 5th, 2004, 12:33 am

binomial tree with stochastic interest rates

March 31st, 2006, 6:49 pm

Hi,I am wondering if any one could give me a good reference or guidance of how to build binomial trees with stochastic interest rates. I would be gratefulM
Last edited by Mballack on March 30th, 2006, 10:00 pm, edited 1 time in total.
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gulati
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Joined: January 7th, 2005, 2:54 pm

binomial tree with stochastic interest rates

March 31st, 2006, 7:47 pm

Check out this book -Implementing Derivatives ModelsLee Clewlow and Chris StricklandThey have pseudo-code as well.
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