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Svoboda, Simona

Interest Rate Modelling

Interest Rate Modelling

190,10€

PDF with Adobe DRM
ISBN: 1403-94602-7
DRM Restrictions

Printing10 pages with an additional page accrued every 3 hours, capped at 10 pages
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Part of the Finance and Capital Markets Series series.
Description
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.
Contents
Introduction
The Vasicek Model
The Cox, Ingersoll and Ross Model
The Brennan and Schwartz Model
Longstaff® 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
Calibration of the Heath, Jarrow and Jorton Framework
Conclusion
Bibliography
Author Biographies
SIMONA SVOBODA works as a Quantitative Analyst on the interest rates structuring desk at Rand Merchant Bank, South Africa. Prior to this she held positions in asset management and risk where she was involved in the development of market risk VAR models and credit portfolio management.
Printing of the book is limited to 10 pages per day.

Keywords: Finance, Capital market

Author(s)
Publisher
Palgrave Macmillan Ltd
Publication year
2003
Language
en
Edition
1
Page amount
288 pages
Categories
Natural Sciences
 
History
Format
Ebook
eISBN (PDF)
1403-94602-7

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