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Interest Rate Modelling : Finance and Capital Markets Series - S. Svoboda

Interest Rate Modelling

Finance and Capital Markets Series

Hardcover Published: 19th December 2003
ISBN: 9781403934703
Number Of Pages: 275

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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.

Introduction
General Framework
Approaches to Term
Structure Modelling
Outline of the Thesis
The Vasicek Model
The Cox, Ingersoll and Ross Model
The Brennan and Schwartz Model
Longstar and Schwartz: A Two-Factor Equilibrium Model
Langetieg's Multi Factor Equilibrium Framework
The Ball and Torous Model
The Hull and White Model
The Black, Derman and Toy One-Factor Interest Rate Model
The Black and Karasinski Model
The Ho and Lee Model
The Heath, Jarrow and Morton Model
Brace, Gatarek and Musiela Model
Calibration of the Hull White - Extended Vasicek Approach
Calibration of the Black, Derman and Toy Discrete Time Model
Conclusion
Bibliography
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9781403934703
ISBN-10: 1403934703
Series: Finance and Capital Markets Series
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 275
Published: 19th December 2003
Publisher: SPRINGER VERLAG GMBH
Country of Publication: US
Dimensions (cm): 24.03 x 15.44  x 2.06
Weight (kg): 0.55
Edition Number: 1

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