Pde Valuation Of Interest Rate Derivatives

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PDE Valuation of Interest Rate Derivatives

Author : Peter Kohl-Landgraf
Publisher : BoD – Books on Demand
ISBN 13 : 3833495375
Total Pages : 222 pages
Book Rating : 4.8/5 (334 download)

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Book Synopsis PDE Valuation of Interest Rate Derivatives by : Peter Kohl-Landgraf

Download or read book PDE Valuation of Interest Rate Derivatives written by Peter Kohl-Landgraf and published by BoD – Books on Demand. This book was released on 2007 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Libor Market Model and its several extensions can be seen as state of the art in interest rate modeling. However, due to the ever increasing complexity of interest rate products, the high dimensionality of this approach starts to reach its limits from the computational side. This book is mainly concerned with a class of Markovian Yield Curve Models which try to overcome that disadvantage as they enable a low-dimensional deterministic and fast PDE valuation. The objective of this book is thereby threefold: - To illuminate in a compact way the connection between stochastic processes and partial differential equations as well as review the key features of arbitrage-free pricing. - To embed the here analyzed Markovian model class into the entire framework of interest rate models. - To present and implement robust numerical schemes, which enable an efficient computational treatment of risk-neutral product valuation by using PDE methods.

Efficient Methods for Valuing Interest Rate Derivatives

Author : Antoon Pelsser
Publisher : Springer Science & Business Media
ISBN 13 : 1447138880
Total Pages : 177 pages
Book Rating : 4.4/5 (471 download)

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Book Synopsis Efficient Methods for Valuing Interest Rate Derivatives by : Antoon Pelsser

Download or read book Efficient Methods for Valuing Interest Rate Derivatives written by Antoon Pelsser and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an overview of the models that can be used for valuing and managing interest rate derivatives. Split into two parts, the first discusses and compares the traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently developed Market models. Unlike most of his competitors, the author's focus is not only on the mathematics: Antoon Pelsser draws on his experience in industry to explore a host of practical issues.

Interest Rate Derivatives

Author : Ingo Beyna
Publisher : Springer Science & Business Media
ISBN 13 : 3642349250
Total Pages : 220 pages
Book Rating : 4.6/5 (423 download)

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Book Synopsis Interest Rate Derivatives by : Ingo Beyna

Download or read book Interest Rate Derivatives written by Ingo Beyna and published by Springer Science & Business Media. This book was released on 2013-02-20 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: The class of interest rate models introduced by O. Cheyette in 1994 is a subclass of the general HJM framework with a time dependent volatility parameterization. This book addresses the above mentioned class of interest rate models and concentrates on the calibration, valuation and sensitivity analysis in multifactor models. It derives analytical pricing formulas for bonds and caplets and applies several numerical valuation techniques in the class of Cheyette model, i.e. Monte Carlo simulation, characteristic functions and PDE valuation based on sparse grids. Finally it focuses on the sensitivity analysis of Cheyette models and derives Model- and Market Greeks. To the best of our knowledge, this sensitivity analysis of interest rate derivatives in the class of Cheyette models is unique in the literature. Up to now the valuation of interest rate derivatives using PDEs has been restricted to 3 dimensions only, since the computational effort was too great. The author picks up the sparse grid technique, adjusts it slightly and can solve high-dimensional PDEs (four dimensions plus time) accurately in reasonable time. Many topics investigated in this book are new areas of research and make a significant contribution to the scientific community of financial engineers. They also represent a valuable development for practitioners.

Interest Rate Dynamics, Derivatives Pricing, and Risk Management

Author : Lin Chen
Publisher : Springer Science & Business Media
ISBN 13 : 364246825X
Total Pages : 158 pages
Book Rating : 4.6/5 (424 download)

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Book Synopsis Interest Rate Dynamics, Derivatives Pricing, and Risk Management by : Lin Chen

Download or read book Interest Rate Dynamics, Derivatives Pricing, and Risk Management written by Lin Chen and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives pricing fonnulas based on each type of model of the tenn structure. The no-arbitrage models are characterized by the work of Ho and Lee (1986), Heath, Jarrow, and Morton (1992), Hull and White (1990 and 1993), and Black, Dennan and Toy (1990). Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest rates. There are a number of disadvantages with their model. First, the model describes the whole volatility structure by a sin gle parameter, implying a number of unrealistic features. Furthennore, the model does not incorporate mean reversion. Black-Dennan-Toy (1990) develop a model along tbe lines of Ho and Lee. They eliminate some of the problems of Ho and Lee (1986) but create a new one: for a certain specification of the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuous models of the term struc ture consistent with the initial tenn structure data.

Modern Pricing of Interest-Rate Derivatives

Author : Riccardo Rebonato
Publisher : Princeton University Press
ISBN 13 : 1400829321
Total Pages : 486 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Modern Pricing of Interest-Rate Derivatives by : Riccardo Rebonato

Download or read book Modern Pricing of Interest-Rate Derivatives written by Riccardo Rebonato and published by Princeton University Press. This book was released on 2012-01-16 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with little constructive interference. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to bring together and build on what theory and trading have to offer. Rebonato begins by presenting the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. He does so with an eye not only to mathematical feasibility but also to financial justification, while devoting special scrutiny to the implications of market incompleteness. Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. This is done by introducing a stochastic-volatility, displaced-diffusion version of the model. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance.

Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition)

Author : Nicolas Privault
Publisher : World Scientific
ISBN 13 : 9811226628
Total Pages : 373 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition) by : Nicolas Privault

Download or read book Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition) written by Nicolas Privault and published by World Scientific. This book was released on 2021-09-02 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces the mathematics of stochastic interest rate modeling and the pricing of related derivatives, based on a step-by-step presentation of concepts with a focus on explicit calculations. The types of interest rates considered range from short rates to forward rates such as LIBOR and swap rates, which are presented in the HJM and BGM frameworks. The pricing and hedging of interest rate and fixed income derivatives such as bond options, caps, and swaptions, are treated using forward measure techniques. An introduction to default bond pricing and an outlook on model calibration are also included as additional topics.This third edition represents a significant update on the second edition published by World Scientific in 2012. Most chapters have been reorganized and largely rewritten with additional details and supplementary solved exercises. New graphs and simulations based on market data have been included, together with the corresponding R codes.This new edition also contains 75 exercises and 4 problems with detailed solutions, making it suitable for advanced undergraduate and graduate level students.

Derivative Securities and Difference Methods

Author : You-lan Zhu
Publisher : Springer Science & Business Media
ISBN 13 : 1461473063
Total Pages : 663 pages
Book Rating : 4.4/5 (614 download)

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Book Synopsis Derivative Securities and Difference Methods by : You-lan Zhu

Download or read book Derivative Securities and Difference Methods written by You-lan Zhu and published by Springer Science & Business Media. This book was released on 2013-07-04 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is mainly devoted to finite difference numerical methods for solving partial differential equations (PDEs) models of pricing a wide variety of financial derivative securities. With this objective, the book is divided into two main parts. In the first part, after an introduction concerning the basics on derivative securities, the authors explain how to establish the adequate PDE boundary value problems for different sets of derivative products (vanilla and exotic options, and interest rate derivatives). For many option problems, the analytic solutions are also derived with details. The second part is devoted to explaining and analyzing the application of finite differences techniques to the financial models stated in the first part of the book. For this, the authors recall some basics on finite difference methods, initial boundary value problems, and (having in view financial products with early exercise feature) linear complementarity and free boundary problems. In each chapter, the techniques related to these mathematical and numerical subjects are applied to a wide variety of financial products. This is a textbook for graduate students following a mathematical finance program as well as a valuable reference for those researchers working in numerical methods in financial derivatives. For this new edition, the book has been updated throughout with many new problems added. More details about numerical methods for some options, for example, Asian options with discrete sampling, are provided and the proof of solution-uniqueness of derivative security problems and the complete stability analysis of numerical methods for two-dimensional problems are added. Review of first edition: “...the book is highly well designed and structured as a textbook for graduate students following a mathematical finance program, which includes Black-Scholes dynamic hedging methodology to price financial derivatives. Also, it is a very valuable reference for those researchers working in numerical methods in financial derivatives, either with a more financial or mathematical background." -- MATHEMATICAL REVIEWS

Interest Rate Swaps and Their Derivatives

Author : Amir Sadr
Publisher : John Wiley & Sons
ISBN 13 : 0470443944
Total Pages : 276 pages
Book Rating : 4.4/5 (74 download)

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Book Synopsis Interest Rate Swaps and Their Derivatives by : Amir Sadr

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.

Interest Rate Swaps and Other Derivatives

Author : Howard Corb
Publisher : Columbia University Press
ISBN 13 : 0231530366
Total Pages : 623 pages
Book Rating : 4.2/5 (315 download)

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Book Synopsis Interest Rate Swaps and Other Derivatives by : Howard Corb

Download or read book Interest Rate Swaps and Other Derivatives written by Howard Corb and published by Columbia University Press. This book was released on 2012-08-28 with total page 623 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first swap was executed over thirty years ago. Since then, the interest rate swaps and other derivative markets have grown and diversified in phenomenal directions. Derivatives are used today by a myriad of institutional investors for the purposes of risk management, expressing a view on the market, and pursuing market opportunities that are otherwise unavailable using more traditional financial instruments. In this volume, Howard Corb explores the concepts behind interest rate swaps and the many derivatives that evolved from them. Corb's book uniquely marries academic rigor and real-world trading experience in a compelling, readable style. While it is filled with sophisticated formulas and analysis, the volume is geared toward a wide range of readers searching for an in-depth understanding of these markets. It serves as both a textbook for students and a must-have reference book for practitioners. Corb helps readers develop an intuitive feel for these products and their use in the market, providing a detailed introduction to more complicated trades and structures. Through examples of financial structuring, readers will come away with an understanding of how derivatives products are created and how they can be deconstructed and analyzed effectively.

Valuation of Interest Rate Swaps and Swaptions

Author : Gerald W. Buetow
Publisher : John Wiley & Sons
ISBN 13 : 9781883249892
Total Pages : 258 pages
Book Rating : 4.2/5 (498 download)

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Book Synopsis Valuation of Interest Rate Swaps and Swaptions by : Gerald W. Buetow

Download or read book Valuation of Interest Rate Swaps and Swaptions written by Gerald W. Buetow and published by John Wiley & Sons. This book was released on 2000-06-15 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: Among the major innovations in the financial markets have been interest rate swaps and swapations, instruments which entail having an arrangement to barter differently structured payment flows for a particular period of time. These instruments have furnished portfolio and risk managers and corporate treasurers with a better tool for controlling interest rate risk. Valuation of Interest Rate Swaps and Swapations explains how interest rate swaps are valued and the factors that affect their value-an ideal way to manage interest or income payments. Various valuations approaches and models are covered, with special end-of-chapter questions and solutions included.

Modeling Dependence in Econometrics

Author : Van-Nam Huynh
Publisher : Springer Science & Business Media
ISBN 13 : 3319033956
Total Pages : 570 pages
Book Rating : 4.3/5 (19 download)

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Book Synopsis Modeling Dependence in Econometrics by : Van-Nam Huynh

Download or read book Modeling Dependence in Econometrics written by Van-Nam Huynh and published by Springer Science & Business Media. This book was released on 2013-11-18 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications of these techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.

An Introduction to the Mathematics of Financial Derivatives

Author : Salih N. Neftci
Publisher : Academic Press
ISBN 13 : 0125153929
Total Pages : 550 pages
Book Rating : 4.1/5 (251 download)

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Book Synopsis An Introduction to the Mathematics of Financial Derivatives by : Salih N. Neftci

Download or read book An Introduction to the Mathematics of Financial Derivatives written by Salih N. Neftci and published by Academic Press. This book was released on 2000-05-19 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt: A step-by-step explanation of the mathematical models used to price derivatives. For this second edition, Salih Neftci has expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background. His explanations of financial calculus seek to be simple and perceptive.

Pricing Models for Bermudan-style Interest Rate Derivatives

Author : Raoul Pietersz
Publisher :
ISBN 13 : 9789058920997
Total Pages : 209 pages
Book Rating : 4.9/5 (29 download)

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Book Synopsis Pricing Models for Bermudan-style Interest Rate Derivatives by : Raoul Pietersz

Download or read book Pricing Models for Bermudan-style Interest Rate Derivatives written by Raoul Pietersz and published by . This book was released on 2005 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Mathematical Models of Financial Derivatives

Author : Yue-Kuen Kwok
Publisher : Springer Science & Business Media
ISBN 13 : 3540686886
Total Pages : 541 pages
Book Rating : 4.5/5 (46 download)

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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.

Pricing and Trading Interest Rate Derivatives

Author : J Hamish M Darbyshire
Publisher : Aitch & Dee Limited
ISBN 13 : 9780995455535
Total Pages : 0 pages
Book Rating : 4.4/5 (555 download)

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Book Synopsis Pricing and Trading Interest Rate Derivatives by : J Hamish M Darbyshire

Download or read book Pricing and Trading Interest Rate Derivatives written by J Hamish M Darbyshire and published by Aitch & Dee Limited. This book was released on 2022-08-07 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most professional and industry relatable text currently available for linear interest rate derivatives. Written by a practicing derivatives portfolio manager with over fifteen years of fixed income trading experience, this book focuses on core trading concepts; pricing, curve building (single and multi-currency), risk, credit and CSAs, regulations, VaR and PCA, volatility, cross-gamma, trade strategy analysis and market moving influences. The book's focus is interest rate swaps and cross-currency swaps, updated for a risk free rate (RFR, such as SOFR and ESTR) framework as opposed to LIBOR. Topics are presented from that perspective, outlining the importance of regulations in an IRD capacity, with volatility and swaptions taught from a practical point of view rather than an overly cumbersome academic one. This third edition (2022) markedly expands the second edition (2017), by not only providing extensive analysis but also building up a modern codebase, step-by-step, in Python. It constructs and solves interest rate curves and goes on to implement risk and cross-gamma calculations, demonstrating the implementation of automatic differentiation for superior efficiency. Read more at https: //github.com/attack68/book_irds3. The treatment of risk is expansive and thorough. The author formally analyses modern market-maker techniques to accurately predict PnL, and successfully implement multiple, consistent perspectives to view all details of risks. Almost everything included here is compulsory knowledge for a modern, successful, swaps trader or interest rate risk portfolio manager. Certainly this book sets the benchmark for the level of expertise that swaps traders should strive for, and the style is aimed at the novice and professional alike.

Analytical Finance: Volume II

Author : Jan R. M. Röman
Publisher : Springer
ISBN 13 : 3319525840
Total Pages : 741 pages
Book Rating : 4.3/5 (195 download)

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Book Synopsis Analytical Finance: Volume II by : Jan R. M. Röman

Download or read book Analytical Finance: Volume II written by Jan R. M. Röman and published by Springer. This book was released on 2017-11-30 with total page 741 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial markets. Developed from notes from the author’s many years in quantitative risk management and modeling roles, and then for the Financial Engineering course at Mälardalen University, it provides exhaustive coverage of vanilla and exotic mathematical finance applications for trading and risk management, combining rigorous theory with real market application. Coverage includes: • Date arithmetic’s, quote types of interest rate instruments • The interbank market and reference rates, including negative rates• Valuation and modeling of IR instruments; bonds, FRN, FRA, forwards, futures, swaps, CDS, caps/floors and others • Bootstrapping and how to create interest rate curves from prices of traded instruments• Risk measures of IR instruments• Option Adjusted Spread and embedded options• The term structure equation, martingale measures and stochastic processes of interest rates; Vasicek, Ho-Lee, Hull-While, CIR• Numerical models; Black-Derman-Toy and forward induction using Arrow-Debreu prices and Newton–Raphson in 2 dimension• The Heath-Jarrow-Morton framework• Forward measures and general option pricing models• Black log-normal and, normal model for derivatives, market models and managing exotics instruments• Pricing before and after the financial crisis, collateral discounting, multiple curve framework, cheapest-to-deliver curves, CVA, DVA and FVA

Derivatives

Author : Jiří Witzany
Publisher : Springer Nature
ISBN 13 : 3030517519
Total Pages : 381 pages
Book Rating : 4.0/5 (35 download)

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Book Synopsis Derivatives by : Jiří Witzany

Download or read book Derivatives written by Jiří Witzany and published by Springer Nature. This book was released on 2020-11-04 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book helps students, researchers and quantitative finance practitioners to understand both basic and advanced topics in the valuation and modeling of financial and commodity derivatives, their institutional framework and risk management. It provides an overview of the new regulatory requirements such as Basel III, the Fundamental Review of the Trading Book (FRTB), Interest Rate Risk of the Banking Book (IRRBB), or the Internal Capital Assessment Process (ICAAP). The reader will also find a detailed treatment of counterparty credit risk, stochastic volatility estimation methods such as MCMC and Particle Filters, and the concepts of model-free volatility, VIX index definition and the related volatility trading. The book can also be used as a teaching material for university derivatives and financial engineering courses.