Interest Rate Modeling
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Interest Rate Models Theory And Practice
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Author : Damiano Brigo
language : en
Publisher: Springer
Release Date : 2001-08-09
Interest Rate Models Theory And Practice written by Damiano Brigo and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-08-09 with Mathematics categories.
The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered. The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted to the pricing of inflation-linked derivatives. The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
Modeling The Term Structure Of Interest Rates
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Author : Rajna Gibson
language : en
Publisher: Now Publishers Inc
Release Date : 2010
Modeling The Term Structure Of Interest Rates written by Rajna Gibson and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Interest Rate Management
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Author : Rudi Zagst
language : en
Publisher: Springer Science & Business Media
Release Date : 2002-04-24
Interest Rate Management written by Rudi Zagst and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-04-24 with Business & Economics categories.
This book combines a rigorous overview of the mathematics of financial markets with an insight into the practical application of these models to the risk and portfolio management of interest-rate derivatives. It can also serve as a valuable textbook on financial markets for graduate and PhD students in mathematics. Interesting and comprehensive case studies illustrate the theoretical concepts.
Interest Rate Models Theory And Practice
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Author : Damiano Brigo
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-09-26
Interest Rate Models Theory And Practice written by Damiano Brigo and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-09-26 with Mathematics categories.
The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into several new chapters. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered. The fast-growing interest for hybrid products has led to new chapters. A special focus here is devoted to the pricing of inflation-linked derivatives. The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
Interest Rate Modeling For Risk Management Market Price Of Interest Rate Risk
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Author : Takashi Yasuoka
language : en
Publisher: Bentham Science Publishers
Release Date : 2015-10-13
Interest Rate Modeling For Risk Management Market Price Of Interest Rate Risk written by Takashi Yasuoka and has been published by Bentham Science Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-10-13 with Business & Economics categories.
Interest Rate Modeling for Risk Management introduces a theoretical framework - the ‘real-world’ model - that allows us to estimate the market price of interest rate risk based on practical and real life situations. The model can be briefly summarized as a process of estimating the market prices of risk through discretization of forward rates with a ‘space-state setup’ whilst considering historical data trends. The book starts with a brief explanation of interest rate stochastic analysis fundamentals before delving into standard models such as Heath-Jarrow-Morton, Hull-White and LIBOR models. The real-world model is then explained in subsequent chapters while applying different frameworks. Additionally, the book also explains some properties of the real-world model, along with the negative price tendency of the market price for risk and a positive market price for risk (with an example of this actually occurring). Readers will also find a handy appendix with proofs to complement the numerical methods explained in the book. This book is intended as a primer for practitioners in financial institutions involved in interest rate risk management. It also presents a new perspective for researchers and graduates in econometrics and finance on the study of interest rate models.
Interest Rate Modeling Post Crisis Challenges And Approaches
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Author : Zorana Grbac
language : en
Publisher: Springer
Release Date : 2015-12-26
Interest Rate Modeling Post Crisis Challenges And Approaches written by Zorana Grbac and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-26 with Mathematics categories.
Filling a gap in the literature caused by the recent financial crisis, this book provides a treatment of the techniques needed to model and evaluate interest rate derivatives according to the new paradigm for fixed income markets. Concerning this new development, there presently exist only research articles and two books, one of them an edited volume, both being written by researchers working mainly in practice. The aim of this book is to concentrate primarily on the methodological side, thereby providing an overview of the state-of-the-art and also clarifying the link between the new models and the classical literature. The book is intended to serve as a guide for graduate students and researchers as well as practitioners interested in the paradigm change for fixed income markets. A basic knowledge of fixed income markets and related stochastic methodology is assumed as a prerequisite.
Interest Rate Models
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Author : Andrew J. G. Cairns
language : en
Publisher: Princeton University Press
Release Date : 2004-01-25
Interest Rate Models written by Andrew J. G. Cairns and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-01-25 with Business & Economics categories.
An Introduction to Interest rate models.
Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing Third Edition
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Author : Nicolas Privault
language : en
Publisher: World Scientific
Release Date : 2021-09-02
Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing Third Edition written by Nicolas Privault and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-09-02 with Mathematics categories.
This book introduces the mathematics of stochastic interest rate modeling and the pricing of related derivatives, based on a step-by-step presentation of concepts with a focus on explicit calculations. The types of interest rates considered range from short rates to forward rates such as LIBOR and swap rates, which are presented in the HJM and BGM frameworks. The pricing and hedging of interest rate and fixed income derivatives such as bond options, caps, and swaptions, are treated using forward measure techniques. An introduction to default bond pricing and an outlook on model calibration are also included as additional topics.This third edition represents a significant update on the second edition published by World Scientific in 2012. Most chapters have been reorganized and largely rewritten with additional details and supplementary solved exercises. New graphs and simulations based on market data have been included, together with the corresponding R codes.This new edition also contains 75 exercises and 4 problems with detailed solutions, making it suitable for advanced undergraduate and graduate level students.
Interest Rate Modeling
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Author : Leif B. G. Andersen
language : en
Publisher:
Release Date : 2010
Interest Rate Modeling written by Leif B. G. Andersen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
"The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods."--Preface.
Interest Rate Modeling And A Time Series Model For Functional Data
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Author : Chung Kwan Pong
language : en
Publisher:
Release Date : 2010
Interest Rate Modeling And A Time Series Model For Functional Data written by Chung Kwan Pong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
In finance, an interest rate derivative is a financial instrument where the underlying asset is an interest rate at which payments are made based on a notional amount. A common approach to price interest rate derivatives is through the use of interest rate models. However, a drawback with this approach is that calibration of interest rate models does not involve the interest rate being modeled. Hence, calibrated models may not be good representations of interest rates and may not produce reliable derivative prices. To deal with the issue, we propose a time series modeling approach to analyze interest rates, specifically, the zero-coupon yield curves. In this approach, yield curves are modeled as functional data and we introduce models that are based on the well-known autoregressive model in time series analysis. The objective of this approach is to understand the dependency of the yield curves on historical data and to predict future yield curves before they are observed. The proposed models are illustrated and compared with the time series of US Treasury zero-coupon yield curves. We explore how individual models perform during different times in an economic cycle. We also propose a way to predict future caplet prices by combining yield curve prediction using functional time series models and historical implied volatilities of caplets. The time series approach that we propose are shown to work well against existing models such as the Hull-White model.