Interest Rate Modelling
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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 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.
Interest Rate Management
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Author : Rudi Zagst
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-17
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 2013-04-17 with Business & Economics categories.
Who gains all his ends did set the level too low. Although the history of trading on financial markets started a long and possibly not exactly definable time ago, most financial analysts agree that the core of mathematical finance dates back to the year 1973. Not only did the world's first option exchange open its doors in Chicago in that year but Black and Scholes published their pioneering paper [BS73] on the pricing and hedging of contingent claims. Since then their explicit pricing formula has become the market standard for pricing European stock op tions and related financial derivatives. In contrast to the equity market, no comparable model is accepted as standard for the interest-rate market as a whole. One of the reasons is that interest-rate derivatives usually depend on the change of a complete yield curve rather than only one single interest rate. This complicates the pricing of these products as well as the process of managing their market risk in an essential way. Consequently, a large number of interest-rate models have appeared in the literature using one or more factors to explain the potential changes of the yield curve. Beside the Black ([Bla76]) and the Heath-Jarrow-Morton model ([HJM92]) which are widely used in practice, the LIBOR and swap market models introduced by Brace, G~tarek, and Musiela [BGM97], Miltersen, Sandmann, and Son dermann [MSS97J, and Jamshidian [Jam98] are among the most promising ones.
Interest Rate Modelling In The Multi Curve Framework
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Author : M. Henrard
language : en
Publisher: Springer
Release Date : 2014-05-29
Interest Rate Modelling In The Multi Curve Framework written by M. Henrard and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-29 with Business & Economics categories.
Following the financial crisis dramatic market changes, a new standard in interest rate modelling emerged, called the multi-curve framework. The author provides a detailed analysis of the framework, through its foundations, evolution and implementation. The book also covers recent extensions to collateral and stochastic spreads modelling.
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 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.
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 Modelling
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Author : S. Svoboda
language : en
Publisher: Springer
Release Date : 2003-12-18
Interest Rate Modelling written by S. Svoboda and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-18 with Business & Economics categories.
Growth in the derivatives market has brought with it a greater volume and range of interest rate dependent products. These products have become increasingly innovative and complex to price, requiring sophisticated market models that capture the full dynamics of the yield curve. A study of the evolution of interest rate modelling theory places these models in the correct mathematical context, allowing appreciation of their key assumptions, concepts and implications. The book guides the practitioner through the derivation and implementation of a variety of models that account for the characteristics and irregularities of observed term structures.
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 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.