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Author : Irving Fisher
Publisher :
ISBN 13 :
Total Pages : 482 pages
Book Rating : 4.3/5 (91 download)
Download or read book The Rate of Interest: Its Nature, Determination and Relation to Economic Phenomena written by Irving Fisher and published by . This book was released on 1907 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Siddhartha Jha
Publisher : John Wiley & Sons
ISBN 13 : 111801779X
Total Pages : 373 pages
Book Rating : 4.1/5 (18 download)
Download or read book Interest Rate Markets written by Siddhartha Jha and published by John Wiley & Sons. This book was released on 2011-02-11 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to build a framework for forecasting interest rate market movements With trillions of dollars worth of trades conducted every year in everything from U.S. Treasury bonds to mortgage-backed securities, the U.S. interest rate market is one of the largest fixed income markets in the world. Interest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business. Emphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades Details the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008 Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods Interest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models
Author : Riccardo Rebonato
Publisher : John Wiley & Son Limited
ISBN 13 : 9780471979586
Total Pages : 521 pages
Book Rating : 4.9/5 (795 download)
Download or read book Interest-Rate Option Models written by Riccardo Rebonato and published by John Wiley & Son Limited. This book was released on 1998-05-05 with total page 521 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Overall this book provides an excellent summary of the state of knowledge of term structure modelling. It combines a solid academic background with the practical experience of someone who works in the financial sector." Alan White and John Hull, A-J Financial Systems, Canada The modelling of exotic interest-rate options is such an important and fast-moving area, that the updating of the extremely successful first edition has been eagerly awaited. This edition re-focuses the assessment of various models presented in the first edition, in light of the new developments of modelling imperfect correlation between financial quantities. It also presents a substantial new chapter devoted to this revolutionary modelling method. In this second edition, readers will also find important new data dealing with the securities markets and the probabilistic/stochastic calculus tools. Other changes include: a new chapter on the issues arising in the pricing of several classes of exotic interest-rate instruments; and insights from the BDT and the Brennan and Schwartz approaches which can be combined into a new class of "generalised models". Further details can be found on the links between mean-reversion and calibration for important classes of models.
Author : Beata Lubinska
Publisher : John Wiley & Sons
ISBN 13 : 1119755018
Total Pages : 263 pages
Book Rating : 4.1/5 (197 download)
Download or read book Interest Rate Risk in the Banking Book written by Beata Lubinska and published by John Wiley & Sons. This book was released on 2021-11-01 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduces practical approaches for optimizing management and hedging of Interest Rate Risk in the Banking Book (IRRBB) driven by fast evolving regulatory landscape and market expectations. Interest rate risk in the banking book (IRRBB) gained its importance through the regulatory requirements that have been growing and guiding the banking industry for the last couple of years. The importance of IRRBB is shifting for banks, away from ‘just’ a regulatory requirement to having an impact on the overall profitability of a financial institution. Interest Rate Risk in the Banking Book sheds light on the best practices for managing this importance risk category and provides detailed analysis of the hedging strategies, practical examples, and case studies based on the author’s experience. This handbook is rich in practical insights on methodological approach and contents of ALCO report, IRRBB policy, ICAAP, Risk Appetite Statement (RAS) and model documentation. It is intended for the Treasury, Risk and Finance department and is helpful in improving and optimizing their IRRBB framework and strategy. By the end of this IRRBB journey, the reader will be equipped with all the necessary tools to build a proactive and compliant framework within a financial institution. Gain an updated understanding of the evolving regulatory landscape for IRRBB Learn to apply maturity gap analysis, sensitivity analysis, and the hedging strategy in banking contexts • Understand how customer behavior impacts interest rate risk and how to manage the consequences Examine case studies illustrating key IRRBB exposures and their implications Written by London market risk expert Beata Lubinska, Interest Rate Risk in the Banking Book is the authoritative resource on this evolving topic.
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 : 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 :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Amir Sadr
Publisher : John Wiley & Sons
ISBN 13 : 0470443944
Total Pages : 276 pages
Book Rating : 4.4/5 (74 download)
Download or read book Interest Rate Swaps and Their Derivatives written by Amir Sadr and published by John Wiley & Sons. This book was released on 2009-09-09 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: An up-to-date look at the evolution of interest rate swaps and derivatives Interest Rate Swaps and Derivatives bridges the gap between the theory of these instruments and their actual use in day-to-day life. This comprehensive guide covers the main "rates" products, including swaps, options (cap/floors, swaptions), CMS products, and Bermudan callables. It also covers the main valuation techniques for the exotics/structured-notes area, which remains one of the most challenging parts of the market. Provides a balance of relevant theory and real-world trading instruments for rate swaps and swap derivatives Uses simple settings and illustrations to reveal key results Written by an experienced trader who has worked with swaps, options, and exotics With this book, author Amir Sadr shares his valuable insights with practitioners in the field of interest rate derivatives-from traders and marketers to those in operations.
Author : Sanjay K. Nawalkha
Publisher : John Wiley & Sons
ISBN 13 : 0471737445
Total Pages : 429 pages
Book Rating : 4.4/5 (717 download)
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.
Author : PAUL. NEWSON
Publisher :
ISBN 13 : 9781782723257
Total Pages : 255 pages
Book Rating : 4.7/5 (232 download)
Download or read book Interest Rate Risk in the Banking Book written by PAUL. NEWSON and published by . This book was released on 2017 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rudi Zagst
Publisher : Springer Science & Business Media
ISBN 13 : 3662121069
Total Pages : 349 pages
Book Rating : 4.6/5 (621 download)
Download or read book Interest-Rate Management written by Rudi Zagst and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 349 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book combines a rigorous overview of the mathematics of financial markets with an insight into the practical application of these models to the risk and portfolio management of interest-rate derivatives. It can also serve as a valuable textbook on financial markets for graduate and PhD students in mathematics. Interesting and comprehensive case studies illustrate the theoretical concepts.
Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 047144698X
Total Pages : 530 pages
Book Rating : 4.4/5 (714 download)
Download or read book Interest Rate, Term Structure, and Valuation Modeling written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2002-11-29 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt: This ultimate guide contains an excellent blend of theory and practice This comprehensive guide covers various aspects of model building for fixed income securities and derivatives. Filled with expert advice, valuable insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a book that all institutional investors, portfolio managers, and risk professionals should have. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles-which include numerous bestsellers—The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.
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 : G. Tily
Publisher : Springer
ISBN 13 : 0230801374
Total Pages : 346 pages
Book Rating : 4.2/5 (38 download)
Download or read book Keynes's General Theory, the Rate of Interest and Keynesian' Economics written by G. Tily and published by Springer. This book was released on 2016-01-12 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book argues that Keynesian economists have betrayed Keynes' theory and policy conclusions, and that the world has been misled about those policies. Keynesians have focused attention on policies for dealing with effects of economic failure as they arise, whereas Keynes was concerned with the cause and then the prevention of economic failure.
Author : Sidney Homer
Publisher : New Brunswick, N.J. : Rutgers University Press
ISBN 13 : 9780813508405
Total Pages : 640 pages
Book Rating : 4.5/5 (84 download)
Download or read book A History of Interest Rates written by Sidney Homer and published by New Brunswick, N.J. : Rutgers University Press. This book was released on 1977 with total page 640 pages. Available in PDF, EPUB and Kindle. Book excerpt: "A History of Interest Rates, Fourth Edition presents a readable account of interest rate trends and lending practices spanning over four millennia of economic history. Filled with in-depth insights and illustrative charts and tables, this unique resource provides a broad perspective on interest rate movements - from which financial professionals can evaluate contemporary interest rate and monetary developments - and applies analytical tools, such as yield-curve averaging and decennial averaging, to the data available." "A History of Interest Rates, Fourth Edition offers a highly detailed analysis of money markets and borrowing practices in major economies. It places the rates and corresponding credit forms in context by summarizing the political and economic events and financial customs of particular times and places." "To help you stay as current as possible, this revised and updated Fourth Edition contains a new chapter of contemporary material as well as added discussions of interest rate developments over the past ten years."--BOOK JACKET.
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 : Edward Burtenshaw SUGDEN (Baron St. Leonards.)
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.0/5 (17 download)
Download or read book Considerations on the rate of interest. ... The third edition, with additions written by Edward Burtenshaw SUGDEN (Baron St. Leonards.) and published by . This book was released on 1817 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
