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Author : Brian Jacob Liechty
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (841 download)
Download or read book An Analysis of the Heath, Jarrow, Morton Interest Rate Model with Applications written by Brian Jacob Liechty and published by . This book was released on 2000 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Damir Filipovic
Publisher : Springer
ISBN 13 : 354044548X
Total Pages : 141 pages
Book Rating : 4.5/5 (44 download)
Download or read book Consistency Problems for Heath-Jarrow-Morton Interest Rate Models written by Damir Filipovic and published by Springer. This book was released on 2004-11-02 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bond markets differ in one fundamental aspect from standard stock markets. While the latter are built up to a finite number of trade assets, the underlying basis of a bond market is the entire term structure of interest rates: an infinite-dimensional variable which is not directly observable. On the empirical side, this necessitates curve-fitting methods for the daily estimation of the term structure. Pricing models, on the other hand, are usually built upon stochastic factors representing the term structure in a finite-dimensional state space. Written for readers with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, this research monograph has threefold aims: to bring together estimation methods and factor models for interest rates, to provide appropriate consistency conditions and to explore some important examples.
Author : Nicolas Privault
Publisher : World Scientific
ISBN 13 : 9814390860
Total Pages : 243 pages
Book Rating : 4.8/5 (143 download)
Download or read book An Elementary Introduction to Stochastic Interest Rate Modeling written by Nicolas Privault and published by World Scientific. This book was released on 2012 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of concepts with a focus on explicit calculations. Each chapter is accompanied with exercises and their complete solutions, making the book suitable for advanced undergraduate and graduate level students. This second edition retains the main features of the first edition while incorporating a complete revision of the text as well as additional exercises with their solutions, and a new introductory chapter on credit risk. The stochastic interest rate models considered range from standard short rate to forward rate models, with a treatment of the pricing of related derivatives such as caps and swaptions under forward measures. Some more advanced topics including the BGM model and an approach to its calibration are also covered.
Author : René Carmona
Publisher : Springer Science & Business Media
ISBN 13 : 3540270671
Total Pages : 236 pages
Book Rating : 4.5/5 (42 download)
Download or read book Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective written by René Carmona and published by Springer Science & Business Media. This book was released on 2007-05-22 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution equations in infinite dimensions. The text includes a crash course on interest rates, a self-contained introduction to infinite dimensional stochastic analysis, and recent results in interest rate theory. From the reviews: "A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM
Author : Takashi Yasuoka
Publisher : Bentham Science Publishers
ISBN 13 : 1681086891
Total Pages : 325 pages
Book Rating : 4.6/5 (81 download)
Download or read book Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk (Second Edition) written by Takashi Yasuoka and published by Bentham Science Publishers. This book was released on 2018-05-09 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: Interest Rate Modeling for Risk Management presents an economic model which can be used to compare interest rate and perform market risk assessment analyses. The key interest rate model applied in this book is specified under real-world measures, and the result is used as to generate scenarios for interest rates. The book introduces a theoretical framework that allows estimating the market price of interest rate risk. For this, the book starts with a brief explanation of stochastic analysis, and introduces interest rate models such as Heath-Jarrow-Morton, Hull-White and LIBOR models. The real-world model is then introduced in subsequent chapters. 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 of risk (with practical examples). 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. The second edition features an expanded commentary on real world models as well as additional numerical examples for the benefit of readers.
Author : Rajna Gibson
Publisher : Now Publishers Inc
ISBN 13 : 1601983727
Total Pages : 171 pages
Book Rating : 4.6/5 (19 download)
Download or read book Modeling the Term Structure of Interest Rates written by Rajna Gibson and published by Now Publishers Inc. This book was released on 2010 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Lixin Wu
Publisher : CRC Press
ISBN 13 : 1420090577
Total Pages : 356 pages
Book Rating : 4.4/5 (2 download)
Download or read book Interest Rate Modeling written by Lixin Wu and published by CRC Press. This book was released on 2009-05-14 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: Containing many results that are new or exist only in recent research articles, Interest Rate Modeling: Theory and Practice portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with financial-economical justifications, develops options along the martingale app
Author : Lixin Wu
Publisher : CRC Press
ISBN 13 : 1351227408
Total Pages : 325 pages
Book Rating : 4.3/5 (512 download)
Download or read book Interest Rate Modeling written by Lixin Wu and published by CRC Press. This book was released on 2019-03-04 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd Edition portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with financial-economical justifications, develops options along the martingale approach, and handles option evaluations with precise numerical methods. Features Presents a complete cycle of model construction and applications, showing readers how to build and use models Provides a systematic treatment of intriguing industrial issues, such as volatility and correlation adjustments Contains exercise sets and a number of examples, with many based on real market data Includes comments on cutting-edge research, such as volatility-smile, positive interest-rate models, and convexity adjustment New to the 2nd edition: volatility smile modeling; a new paradigm for inflation derivatives modeling; an extended market model for credit derivatives; a dual-curved model for the post-crisis interest-rate derivatives markets; and an elegant framework for the xVA.
Author : Kevin Mark
Publisher :
ISBN 13 :
Total Pages : 230 pages
Book Rating : 4.:/5 (934 download)
Download or read book Semilinear Stochastic Differential Equations with Applications to Forward Interest Rate Models written by Kevin Mark and published by . This book was released on 2010 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis we use techniques from white noise analysis to study solutions of semilinear stochastic differential equations in a Hilbert space. We then consider applications to forward interest rate models, such as in the Heath-Jarrow-Morton framework. We also reformulate a phenomenological model of the forward rate.
Author : Maria Krivko
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (86 download)
Download or read book Numerical Methods for Heath-Jarrow-Morton Model of Interest Rates written by Maria Krivko and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The celebrated HJM framework models the evolution of the term structure of interest rates through the dynamics of the forward rate curve. These dynamics are described by a multifactor infinite-dimensional stochastic equation with the entire forward rate curve as state variable. Under no-arbitrage conditions, the HJM model is fully characterized by specifying forward rate volatility functions and the initial forward curve. In short, it can be described as a unifying framework with one of its most striking features being the generality: any arbitrage-free interest rate model driven by Brownian motion can be described as a special case of the HJM model. The HJM model has closed-form solutions only for some special cases of volatility, and valuations under the HJM framework usually require a numerical approximation. We propose and analyze numerical methods for the HJM model. To construct the methods, we first discretize the infinite-dimensional HJM equation in maturity time variable using quadrature rules for approximating the arbitrage-free drift. This results in a finite-dimensional system of stochastic differential equations (SDEs) which we approximate in the weak and mean-square sense. The proposed numerical algorithms are highly computationally efficient due to the use of high-order quadrature rules which allow us to take relatively large discretization steps in the maturity time without affecting overall accuracy of the algorithms. They also have a high degree of flexibility and allow to choose appropriate approximations in maturity and calendar times separately. Convergence theorems for the methods are proved. Results of some numerical experiments with European-type interest rate derivatives are presented.
Author :
Publisher :
ISBN 13 :
Total Pages : 160 pages
Book Rating : 4.E/5 ( download)
Download or read book Pricing Interest Rate Caps by Calibrating the Parameters of the Heath-Jarrow-Morton (HJM) Model written by and published by . This book was released on 2002 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Leonard Tchuindjo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Factors' Correlation in the Heath-Jarrow-Morton Interest Rate Model written by Leonard Tchuindjo and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new derivation of the Heath-Jarrow-Morton risk-neutral drift restriction that takes into account nonzero instantaneous correlations between factors. The result allows avoiding the orthogonalization of factors and provides an approach by which interest rate derivatives can be priced by preserving the economic meaning of each underlying factor. An application is given for the term structure of creditrisky bonds, driven by two correlated factors -- the risk-free forward rate and the forward credit spreads.
Author : Jessica James
Publisher : John Wiley & Sons
ISBN 13 :
Total Pages : 680 pages
Book Rating : 4.3/5 (91 download)
Download or read book Interest Rate Modelling written by Jessica James and published by John Wiley & Sons. This book was released on 2000-06-08 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: Back Cover ( this section should include endorsements also) As interest rate markets continue to innovate and expand it is becoming increasingly important to remain up-to-date with the latest practical and theoretical developments. This book covers the latest developments in full, with descriptions and implementation techniques for all the major classes of interest rate models - both those actively used in practice as well as theoretical models still 'waiting in the wings'. Interest rate models, implementation methods and estimation issues are discussed at length by the authors as are important new developments such as kernel estimation techniques, economic based models, implied pricing methods and models on manifolds. Providing balanced coverage of both the practical use of models and the theory that underlies them, Interest Rate Modelling adopts an implementation orientation throughout making it an ideal resource for both practitioners and researchers. Back Flap Jessica James Jessica James is Head of Research for Bank One's Strategic Risk Management group, based in the UK. Jessica started life as a physicist at Manchester University and completed her D Phil in Theoretical Atomic and Nuclear Physics at Christ Church, Oxford, under Professor Sandars. After a year as a college lecturer at Trinity, Oxford, she began work at the First National Bank of Chicago, now Bank One, where she still works. She is well known as a speaker on the conference circuit, lecturing on a variety of topics such as VaR, capital allocation, credit derivatives and interest rate modelling, and has published articles on various aspects of financial modelling. Nick Webber Nick Webber is a lecturer in Finance at Warwick Business School. Prior to his academic career, Nick had extensive experience in the industrial and commercial world in operational research and computing. After obtaining a PhD in Theoretical Physics from Imperial College he began research into financial options. His main area of research centres on interest rate modelling and computational finance. He has taught practitioner and academic courses for many years, chiefly on options and interest rates. Front Flap Interest Rate Modelling provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products. A series of introductory chapters reviews the theoretical background, pointing out the problems in using naïve valuation and implementation techniques. There follows a full analysis of interest rate models including major categories, such as Affine, HJM and Market models, and in addition, lesser well known types that include Consol, Random field and Jump-augmented Models. Implementation methods are discussed in depth including the latest developments in the use of finite difference, Lattice and Monte Carlo methods and their particular application to the valuation of interest rate derivatives. Containing previously unpublished material, Interest Rate Modelling is a key reference work both for practitioners developing and implementing models for real and for academics teaching and researching in the field.
Author : Robert Jarrow
Publisher : CRC Press
ISBN 13 : 9781032475264
Total Pages : 0 pages
Book Rating : 4.4/5 (752 download)
Download or read book Modeling Fixed Income Securities and Interest Rate Options written by Robert Jarrow and published by CRC Press. This book was released on 2023-01-09 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling Fixed Income Securities and Interest Rate Options offers several new updates. The new edition of the classic textbook presents the basics of fixed-income securities. It requires a minimum of prerequisites. The author presents a coherent theoretical framework for understanding all basic models.
Author : Belinda O'Connor
Publisher :
ISBN 13 :
Total Pages : 214 pages
Book Rating : 4.:/5 (969 download)
Download or read book The Heath-Jarrow-Morton Model for the Term Structure of Interest Rates written by Belinda O'Connor and published by . This book was released on 2000 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Damiano Brigo
Publisher : Springer Science & Business Media
ISBN 13 : 354034604X
Total Pages : 1016 pages
Book Rating : 4.5/5 (43 download)
Download or read book Interest Rate Models - Theory and Practice written by Damiano Brigo and published by Springer Science & Business Media. This book was released on 2007-09-26 with total page 1016 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Damir Filipovic
Publisher : Springer Science & Business Media
ISBN 13 : 3540680152
Total Pages : 259 pages
Book Rating : 4.5/5 (46 download)
Download or read book Term-Structure Models written by Damir Filipovic and published by Springer Science & Business Media. This book was released on 2009-07-28 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.
