Interest Rate Modelling

by Simona Svoboda

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

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Year of publication:	2004
Authors:	Svoboda, Simona
Publisher:	London : Palgrave Macmillan
Subject:	Zins \| Interest rate \| Optionspreistheorie \| Option pricing theory \| Zinsderivat \| Interest rate derivative \| Zinsstruktur \| Yield curve \| Finanzmathematik \| Mathematical finance \| Theorie \| Theory \| Wirtschaftsmodell \| Economic model \| Mathematisches Modell \| Zinsfuß
Description of contents:	Table of Contents [gbv.de]

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Extent:	Online-Ressource (XI, 275 p, online resource)
Series:	Finance and Capital Markets Series SpringerLink / Bücher Springer eBook Collection / Palgrave Economics & Finance Collection Springer ebook collection / Palgrave Economics and Finance Collection 2000 - 2013
Type of publication:	Book / Working Paper
Language:	English
Notes:	Includes bibliographical references (p. 271-272) and index Cover; Contents; Introduction; CHAPTER 1 The Vasicek Model; CHAPTER 2 The Cox, Ingersoll and Ross Model; CHAPTER 3 The Brennan and Schwartz Model; CHAPTER 4 Longstaff and Schwartz: A Two-Factor Equilibrium Model; CHAPTER 5 Langetieg's Multi-Factor Equilibrium Framework; CHAPTER 6 The Ball and Torous Model; CHAPTER 7 The Hull and White Model; CHAPTER 8 The Black, Derman and Toy One-Factor Interest Rate Model; CHAPTER 9 The Black and Karasinski Model; CHAPTER 10 The Ho and Lee Model; CHAPTER 11 The Heath, Jarrow and Morton Model; CHAPTER 12 Brace, Gatarek and Musiela Model CHAPTER 13 Calibrating the Hull…White extended Vasicek approachCHAPTER 14 Calibrating the Black, Derman and Toy discrete time model; CHAPTER 15 Calibration of the Heath, Jarrow and Morton framework; Closing Remarks; Bibliography; Index
ISBN:	978-1-4039-4602-7 ; 978-1-349-51732-9
Other identifiers:	10.1057/9781403946027 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012054390