Interest Rate Dynamics, Derivatives Pricing, and Risk Management

By: Lin Chen

Write A Review

Paperback

At a Glance

Paperback
168 Pages

Dimensions(cm)
24.13 x 15.88 x 1.27

Paperback

$84.99

or 4 interest-free payments of $21.25 with

Ships in 5 to 7 business days

There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives pricing fonnulas based on each type of model of the tenn structure. The no-arbitrage models are characterized by the work of Ho and Lee (1986), Heath, Jarrow, and Morton (1992), Hull and White (1990 and 1993), and Black, Dennan and Toy (1990). Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest rates. There are a number of disadvantages with their model. First, the model describes the whole volatility structure by a sin gle parameter, implying a number of unrealistic features. Furthennore, the model does not incorporate mean reversion. Black-Dennan-Toy (1990) develop a model along tbe lines of Ho and Lee. They eliminate some of the problems of Ho and Lee (1986) but create a new one: for a certain specification of the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuous models of the term struc ture consistent with the initial tenn structure data.

Shipping

	Standard Shipping	Express Shipping
Metro postcodes:	$9.99	$14.95
Regional postcodes:	$9.99	$14.95
Rural postcodes:	$9.99	$14.95

Orders over $79.00 qualify for free shipping.

How to return your order

At Booktopia, we offer hassle-free returns in accordance with our returns policy. If you wish to return an item, please get in touch with Booktopia Customer Care.

Additional postage charges may be applicable.

Defective items

If there is a problem with any of the items received for your order then the Booktopia Customer Care team is ready to assist you.

For more info please visit our Help Centre.

You Can Find This Book In

Non-Fiction Accounting & Finance Finance Investment & Securities Economics Macroeconomics Monetary Economics

A Three-Factor Model of the Term Structure of Interest Rates	p. 1
Pricing Interest Rate Derivatives	p. 39
Pricing Exotic Options	p. 63
Fitting to a Given Term Structure	p. 73
A Discrete-Time Version of the Model	p. 77
Estimation of the Model	p. 95
Managing Interest Rate Risk	p. 105
Extensions of the Model	p. 119
Concluding Remarks	p. 125
A Proof of Lemma 1	p. 127
B Proof of Proposition 2	p. 131
C Proof of Lemma 2	p. 135
D Proof of Proposition 8	p. 137
E Integral Equation for Derivative Prices	p. 141
Bibliography	p. 143
Table of Contents provided by Blackwell. All Rights Reserved.

Interest Rate Dynamics, Derivatives Pricing, and Risk Management

At a Glance

Paperback

Shipping

How to return your order

Defective items

You Can Find This Book In

More in Investment & Securities

Geopolitical Alpha

An Investment Framework for Predicting the Future

Friends That Invest

Your Guide to Financial Independence Through Shares and Stocks

The Warren Buffett Way

30th Anniversary Edition

The Quick-Start Guide to Investing

Learn How to Invest Simpler, Smarter and Sooner, WINNER of ABBA BOOK OF THE YEAR and PERSONAL FINANCE & INVESTING

How To Not Work Forever

Start Investing and Build a Life You Love

Sort Your Property Out

And Build Your Future

Property Secrets of the Rich

For readers of Rich Dad Poor Dad and The Intelligent Investor

Richer, Wiser, Happier

How the World's Greatest Investors Win in Markets and Life

The World for Sale

Money, Power and the Traders Who Barter the Earth's Resources

Property = Wealth

The Ultimate Guide to Building a Multi-Million-Dollar Property Empire

Don't Stress, Just Invest

It's time to set up your investments and get on with your life

Invest Your Way

How to Grow Your Wealth on Your Terms

Top Stocks 2026

A Sharebuyer's Guide to Leading Australian Companies

Fooled By Randomness

The Hidden Role of Chance in Life and in the Markets

Stan Weinstein's Secrets for Profiting in Bull and Bear Markets

Personal Finance & Investment

A Random Walk Down Wall Street

The Best Investment Guide That Money Can Buy

Online Investing on Australian Sharemarket

How to Research, Trade and Invest in Shares and Securities Online 5th Edition

Market Wizards

Interviews with Top Traders

Trading in the Zone

Master the Market with Confidence, Discipline, and a Winning Attitude

Rethink Property Investing, Fully Updated and Revised Edition

Become Financially Free with Commercial Property Investing

Positively Geared

How to Build a Multi-Million-Dollar Property Portfolio from a $50K Deposit

The Little Book of Valuation

Fully Updated and Revised Edition - How to Value a Company, Pick a Stock, and Profit

How to Buy 10 Properties Fast

A Step-by-Step Guide to Fast-Track Your Journey to Financial Independence

Best Loser Wins

Why Normal Thinking Never Wins the Trading Game - written by a high-stake day trader

This product is categorised by