On Term Structure Of Yield Rates 1 Vasicek Model

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Interest Rate Models - Theory and Practice

Author : Damiano Brigo
Publisher : Springer Science & Business Media
ISBN 13 : 354034604X
Total Pages : 1016 pages
Book Rating : 4.5/5 (43 download)

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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 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.

Modeling the Term Structure of Interest Rates

Author : Rajna Gibson
Publisher : Now Publishers Inc
ISBN 13 : 1601983727
Total Pages : 171 pages
Book Rating : 4.6/5 (19 download)

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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.

Vasicek and Beyond

Author : L. P. Hughston
Publisher :
ISBN 13 :
Total Pages : 408 pages
Book Rating : 4.:/5 (31 download)

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Book Synopsis Vasicek and Beyond by : L. P. Hughston

Download or read book Vasicek and Beyond written by L. P. Hughston and published by . This book was released on 1996 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Bond Pricing and Yield Curve Modeling

Author : Riccardo Rebonato
Publisher :
ISBN 13 : 1107165857
Total Pages : 781 pages
Book Rating : 4.1/5 (71 download)

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Book Synopsis Bond Pricing and Yield Curve Modeling by : Riccardo Rebonato

Download or read book Bond Pricing and Yield Curve Modeling written by Riccardo Rebonato and published by . This book was released on 2018-06-07 with total page 781 pages. Available in PDF, EPUB and Kindle. Book excerpt: Rebonato provides an authoritative, clear, and up-to-date explanation of the cutting-edge innovations in affine modeling for government bonds, and provides readers with the precise tools to develop their own models. This book combines precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.

Encyclopedia of Finance

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387262849
Total Pages : 861 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Encyclopedia of Finance by : Cheng-Few Lee

Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.

The Term Structure of Interest Rates

Author : David Meiselman
Publisher :
ISBN 13 :
Total Pages : 96 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis The Term Structure of Interest Rates by : David Meiselman

Download or read book The Term Structure of Interest Rates written by David Meiselman and published by . This book was released on 1962 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Yield Curve Modeling and Forecasting

Author : Francis X. Diebold
Publisher : Princeton University Press
ISBN 13 : 0691146802
Total Pages : 223 pages
Book Rating : 4.6/5 (911 download)

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Book Synopsis Yield Curve Modeling and Forecasting by : Francis X. Diebold

Download or read book Yield Curve Modeling and Forecasting written by Francis X. Diebold and published by Princeton University Press. This book was released on 2013-01-15 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.

Advanced Fixed Income Analysis

Author : Moorad Choudhry
Publisher : Elsevier
ISBN 13 : 0080999417
Total Pages : 268 pages
Book Rating : 4.0/5 (89 download)

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Book Synopsis Advanced Fixed Income Analysis by : Moorad Choudhry

Download or read book Advanced Fixed Income Analysis written by Moorad Choudhry and published by Elsevier. This book was released on 2015-08-28 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry's method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the financial markets, not mathematics, and he provides few derivations and fewer proofs. He draws on both his personal experience as well as his own research to bring together subjects of practical importance to bond market investors and analysts. - Presents practitioner-level theories and applications, never available in textbooks - Focuses on financial markets, not mathematics - Covers relative value investing, returns analysis, and risk estimation

Term-Structure Models

Author : Damir Filipovic
Publisher : Springer Science & Business Media
ISBN 13 : 3540680152
Total Pages : 259 pages
Book Rating : 4.5/5 (46 download)

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Book Synopsis Term-Structure Models by : Damir Filipovic

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.

Interest Rate Risk Modeling

Author : Sanjay K. Nawalkha
Publisher : John Wiley & Sons
ISBN 13 : 0471737445
Total Pages : 429 pages
Book Rating : 4.4/5 (717 download)

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Book Synopsis Interest Rate Risk Modeling by : Sanjay K. Nawalkha

Download or read book Interest Rate Risk Modeling written by Sanjay K. Nawalkha and published by John Wiley & Sons. This book was released on 2005-05-31 with total page 429 pages. Available in PDF, EPUB and Kindle. Book excerpt: The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.

Interest Rate Modelling

Author : S. Svoboda
Publisher : Springer
ISBN 13 : 1403946027
Total Pages : 275 pages
Book Rating : 4.4/5 (39 download)

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Book Synopsis Interest Rate Modelling by : S. Svoboda

Download or read book Interest Rate Modelling written by S. Svoboda and published by Springer. This book was released on 2003-12-18 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Dynamic Term Structure Modeling

Author : Sanjay K. Nawalkha
Publisher : John Wiley & Sons
ISBN 13 : 0470140062
Total Pages : 722 pages
Book Rating : 4.4/5 (71 download)

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Book Synopsis Dynamic Term Structure Modeling by : Sanjay K. Nawalkha

Download or read book Dynamic Term Structure Modeling written by Sanjay K. Nawalkha and published by John Wiley & Sons. This book was released on 2007-05-23 with total page 722 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike." --Sanjiv Ranjan Das Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives "Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point." --Nassim Nicholas Taleb author, Dynamic Hedging and The Black Swan "Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models." --Pierre Collin-Dufresne Associate Professor of Finance, UC Berkeley "The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation." --Thomas S. Y. Ho, PHD President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling

Empirical Dynamic Asset Pricing

Author : Kenneth J. Singleton
Publisher : Princeton University Press
ISBN 13 : 1400829232
Total Pages : 497 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Empirical Dynamic Asset Pricing by : Kenneth J. Singleton

Download or read book Empirical Dynamic Asset Pricing written by Kenneth J. Singleton and published by Princeton University Press. This book was released on 2009-12-13 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities. Singleton addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures. As an added feature, Singleton includes throughout the book interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton's previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.

Interest Rate Modeling

Author : Leif B. G. Andersen
Publisher :
ISBN 13 : 9780984422104
Total Pages : 1154 pages
Book Rating : 4.4/5 (221 download)

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Book Synopsis Interest Rate Modeling by : Leif B. G. Andersen

Download or read book Interest Rate Modeling written by Leif B. G. Andersen and published by . This book was released on 2010 with total page 1154 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods."--Preface.

Estimating and Interpreting the Yield Curve

Author : Nicola Anderson
Publisher :
ISBN 13 :
Total Pages : 248 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Estimating and Interpreting the Yield Curve by : Nicola Anderson

Download or read book Estimating and Interpreting the Yield Curve written by Nicola Anderson and published by . This book was released on 1996-06-04 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.

Term Structure of Profit Rates of Sukuk

Author : Adesina-Uthman Ganiyat
Publisher : Cambridge Scholars Publishing
ISBN 13 : 144387986X
Total Pages : 340 pages
Book Rating : 4.4/5 (438 download)

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Book Synopsis Term Structure of Profit Rates of Sukuk by : Adesina-Uthman Ganiyat

Download or read book Term Structure of Profit Rates of Sukuk written by Adesina-Uthman Ganiyat and published by Cambridge Scholars Publishing. This book was released on 2015-06-18 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores several non-traditional and under-researched fields in Islamic finance through its investigations into how the newly-emergent financial instrument Sukuk behaves in the broader field of finite-period financing and pricing in the market place. It provides readers with didactic information on the fundamental theories of term structure and in-depth information on this nascent financial instrument in the Islamic capital market. The book employs one and two-factor models of term structure in order to analyse sovereign and corporate Sukuk bonds from the world’s leading Islamic economy, Malaysia. For the purposes of the study, the book establishes “profit rate yield curves” in the tradition of the conventional bond yield curve in order to define different risk classes of Sukuk. The dynamics of term structure of profit rates are captured with the inclusion of volatility as a factor in one of the models. The book provides informative case studies for interested students and researchers in the field of financial economics and mathematical finance. It also provides examples that will serve to simplify future research in term structure analysis and reduce its computational inefficiency.

Pricing and Hedging Interest and Credit Risk Sensitive Instruments

Author : Frank Skinner
Publisher : Elsevier
ISBN 13 : 0080473954
Total Pages : 389 pages
Book Rating : 4.0/5 (84 download)

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Book Synopsis Pricing and Hedging Interest and Credit Risk Sensitive Instruments by : Frank Skinner

Download or read book Pricing and Hedging Interest and Credit Risk Sensitive Instruments written by Frank Skinner and published by Elsevier. This book was released on 2004-10-29 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is tightly focused on the pricing and hedging of fixed income securities and their derivatives. It is targeted at those who are interested in trading these instruments in an investment bank, but is also useful for those responsible for monitoring compliance of the traders such as regulators, back office staff, middle and senior lever managers. To broaden its appeal, this book lowers the barriers to learning by keeping math to a minimum and by illustrating concepts through detailed numerical examples using Excel workbooks/spreadsheets on a CD with the book. On the accompanying CD with the book, three interest rate models are illustrated: Ho and Lee, constant volatility and Black Derman and Toy, along with two evolutionary models, Vasicek and CIR and two credit risk models, Jarrow and Turnbull and Duffie and Singleton. These are implemented via spreadsheets on the CD.* Starts at an introductory level and then develops advanced topics * Provides plenty of numerical examples rather than mathematical equations to aid full understanding of the strengths and weaknesses of all interest rate derivative models* Can be used for self-study - a complete book on the topic, which includes examples with answers