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Factors Correlation In The Heath Jarrow Morton Interest Rate Model
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Book Synopsis Factors' Correlation in the Heath-Jarrow-Morton Interest Rate Model by : Leonard Tchuindjo
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.
Book Synopsis Consistency Problems for Heath-Jarrow-Morton Interest Rate Models by : Damir Filipovic
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.
Book Synopsis Modeling the Term Structure of Interest Rates by : Rajna Gibson
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.
Book Synopsis An Analysis of the Heath, Jarrow, Morton Interest Rate Model with Applications by : Brian Jacob Liechty
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:
Book Synopsis Interest Rate Models Theory and Practice by : Damiano Brigo
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 2013-04-17 with total page 544 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.
Book Synopsis Interest Rate Derivatives by : Henry Obeng Tawiah
Download or read book Interest Rate Derivatives written by Henry Obeng Tawiah and published by . This book was released on 2012-09-27 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk (Second Edition) by : Takashi Yasuoka
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.
Book Synopsis Interest Rate Modeling by : Lixin Wu
Download or read book Interest Rate Modeling written by Lixin Wu and published by CRC Press. This book was released on 2024-08-27 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: Containing many results that are new, or which exist only in recent research articles, this thoroughly revised third edition of Interest Rate Modeling: Theory and Practice, Third 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 smiles 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 Third edition Introduction of Fed fund market and Fed fund futures Replacement of the forward-looking USD LIBOR by the backward-looking SOFR term rates in the market model, and the deletion of dual-curve market model developed especially for the post-crisis derivatives markets New chapters on LIBOR Transition and SOFR Derivatives Markets
Book Synopsis Empirical Comparisons of One Factor Heath-Jarrow-Morton Term Structure Models by : Robert A. J. Gibson
Download or read book Empirical Comparisons of One Factor Heath-Jarrow-Morton Term Structure Models written by Robert A. J. Gibson and published by . This book was released on 1995 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Mathematical Models of Financial Derivatives by : Yue-Kuen Kwok
Download or read book Mathematical Models of Financial Derivatives written by Yue-Kuen Kwok and published by Springer Science & Business Media. This book was released on 2008-07-10 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.
Book Synopsis Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective by : René Carmona
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
Book Synopsis Zero Lower Bound Term Structure Modeling by : L. Krippner
Download or read book Zero Lower Bound Term Structure Modeling written by L. Krippner and published by Springer. This book was released on 2015-01-05 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.
Book Synopsis Construction of a Single Factor Heath-Jarrow-Morton Term Structure Model by : Andrew Jeffrey
Download or read book Construction of a Single Factor Heath-Jarrow-Morton Term Structure Model written by Andrew Jeffrey and published by . This book was released on 1994 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments by : Carol Alexander
Download or read book Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments written by Carol Alexander and published by John Wiley & Sons. This book was released on 2008-06-09 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modelling the implied and local volatility surfaces. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Duration-Convexity approximation to bond portfolios, and portfolio immunization; Pricing floaters and vanilla, basis and variance swaps; Coupon stripping and yield curve fitting; Proxy hedging, and hedging international securities and energy futures portfolios; Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, ‘best-of’ and spread options; Libor model calibration; Dynamic models for implied volatility based on principal component analysis; Calibration of stochastic volatility models (Matlab code); Simulations from stochastic volatility and jump models; Duration, PV01 and volatility invariant cash flow mappings; Delta-gamma-theta-vega mappings for options portfolios; Volatility beta mapping to volatility indices.
Book Synopsis The Heath-Jarrow-Morton Model for the Term Structure of Interest Rates by : Belinda O'Connor
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:
Book Synopsis An Extended Heath-Jarrow-Morton Risk-Neutral Drift by : Leonard Tchuindjo
Download or read book An Extended Heath-Jarrow-Morton Risk-Neutral Drift 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: Using a finite dimensional Hilbert space framework, this work proposes a new derivation of the HJM [D. Heath, R. Jarrow, A. Morton, Bond pricing and the term structure of interest rates: A New Methodology for Contingent Claims Valuation, Econometrica 60 (1992) 77-105] risk-neutral drift that takes into account nonzero instantaneous correlations between factors. The results obtained generalize the original HJM risk-neutral drift and provide an approach by which interest rate derivatives can be priced using functions of directly observable factors.
Book Synopsis Valuation of Interest-Sensitive Financial Instruments by : David F. Babbel
Download or read book Valuation of Interest-Sensitive Financial Instruments written by David F. Babbel and published by John Wiley & Sons. This book was released on 1996-11-13 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: Valuations of Interest-Sensitive Financial Instruments provides in-depth analysis of the development and underpinnings of models that are essential to the financial analyst or valuation actuary. Complete coverage includes: spot and forward interest rates, discrete- and continuous-time one-factor models, multi-factor discrete- and continuous-time models, and simulation approaches.
