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Interest Rate Modelling

Interest Rate Modelling

Wiley Series in Financial Engineering

Aus der Reihe

Fr. 218.00

inkl. gesetzl. MwSt.
Versandkostenfrei

Beschreibung

Details

Einband

Gebundene Ausgabe

Erscheinungsdatum

08.06.2000

Verlag

John Wiley & Sons Inc

Seitenzahl

654

Maße (L/B/H)

23.6/16/4.2 cm

Beschreibung

Rezension

"Interest Rate Modelling is an encyclopedic treatment of interest rates and their related financial derivatives. It combines advanced theory with extensive and down-to-earth data analysis in a way which is truly unique. For practitioners, students and scholars in the field, this impressive wok will be the standard reference for years to come." (Professor Tomas Bjork, Stockholm School of Economics)

" ... an excellent book. I am particularly pleased by its breadth and range of topics ... the reader is provided with an informative and readable exposition." (Dr Farshid Jamshidian, NetAnalytic)

"I particularly like the strong emphasis on the practicalities and calibration of interest rate models. This book will be invaluable as a comprehensive reference to students, researchers, and practitioners." (Professor Francis Longstaff, The Anderson School at UCLA)

"This is a carefully written, scholarly but fascinating presentation of the field of Interest Rate Modelling. It combines the best of two worlds: the rigour expected from finance in acamedia with the relevance expected from finance in practice. James and Webber are truly masters of their market since this book is surely a must-buy for both researchers and practitioners. If only all finance books were written with this care and attention to detail." (Dr Neil Johnson, , Clarendon Laboratory, Oxford)

"Today, interest rates are key economic instruments. This is a mammoth treatise and must surely rank as one of the most comprehensive available on the topic. Anyone interested in modelling or simulating the behaviour of interest rates, be they practitioner, economist, mathematician or new entrant to the subject, will find within a wealth of pertinent material." (Professor Peter Richmond, Trinity College Dublin)

Details

Einband

Gebundene Ausgabe

Erscheinungsdatum

08.06.2000

Verlag

John Wiley & Sons Inc

Seitenzahl

654

Maße (L/B/H)

23.6/16/4.2 cm

Gewicht

1234 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-0-471-97523-6

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  • Interest Rate Modelling
  • Part I: Introduction to interest rate modelling

    1. Introduction to interest rates

    Interest rate behaviour;
    Basic concepts;
    Interest rate markets;
    Historical and current data;
    Uses of interest rate models;
    Conclusion

    2. Interest rates in history

    Interest rates in monetary history;
    Characteristics of interest rate behaviour

    3. Introduction to interest rate modelling

    Yield curve basics;
    Describing interest rate processes;
    Introducton to interest rate models;
    Categories of interest rate model;
    The role of the short rate

    4. Interest rate models: theory

    Summary of valuation

    A theoretical market framework;
    Fundamentals of pricing; valuing by change of numeraire;
    Derivatives in the extended Vasicek model

    5. Basic modelling tools

    Introduction to valuation;
    Introduction to estimation;
    Statistical tests;
    Yield curve stripping;
    The convexity adjustment

    6. Densities and distributions

    The density function;
    Kernel methods;
    Boundary behaviour;
    Interest rate models at extreme values of interest rates;
    Tail distributions

    Part II Interest rate models

    7. Affine models

    Affine term structure models;
    Interpreting the state variables;
    Types of affine model;
    Examples of one-factor affine models;
    Examples of n-factor affine models;
    A general framework for affine models

    8. Market models and the Heath, Jarrow and Morton framework

    Introduction to the Heath, Jarrow and Morton model;
    Volatility functions in HJM;
    Market models;
    General market models

    9. Other interest rate models

    Consol models;
    Price kernet models;
    Positive interest rate models;
    Non-linear models

    10. General formulations of interest rate models

    Jump processes;
    Random field models;
    A general model;
    Jump models

    11. Economic models

    Economics and interest rates

    An economically motivated financial model of interest rates;
    An IS-LM based model;
    IS-LM, hyperinflation and extended Vasicek;
    The general equilibrium framework;
    Interpreting the price kernel

    Part III Valuation methods

    12. Finite difference methods

    The Feynman-Kac Equation;
    Discretising the PDE;
    Simplifying the PDE;
    Explicit methods;
    Implicit methods;
    The Crank-Nicolson method;
    Comparison of methods;
    Implicit boundary conditions;
    Fitting to an initial term structure;
    Finite difference methods in N dimensions;
    Operator splitting;
    A two-dimensional PDE;
    Solving a PDDE

    13. Valuation: the Monte Carlo method

    The basic Monte Carlo method;
    Speed-up methods;
    Sampling issues;
    Simulation methods for HJM models

    14. Lattice methods

    Introduction to lattice methods;
    Issues in constructing a lattice;
    Examples of lattice methods;
    Calibration to market prices;
    The explicit finite difference method;
    Lattices and the Monte Carlo method;
    Non-recombining lattices;
    Conclusions

    Part IV Calibration and estimation

    15. Modelling the yield curve

    Stripping the yield curve;
    Fitting using parameterised curves;
    Fitting the yield curve using splines;
    Nelson and Siegel curves;
    Comparison of families of curves;
    Kernel methods of yield curve estimations;
    LP and regression methods

    16. Principal components analysis

    Volatility structures;
    Identifying empirical volatility factors;
    Calibrating whole yield curve methods;
    Processes on manifolds;
    Analysis of dynamical systems;
    Conclusions

    17. Estimation methods: GMM and ML

    GMM estimation;
    Implementation issues;
    The efficient method of moments (EMM);
    Maximum likelihood methods;
    Hierarchy of procedures

    18. Further estimation methods

    Introduction;
    Filtering approaches to estimation;
    The extended Kalman Filter;
    GARCH models;
    Extensions of GARCH;
    Interest rate models and GARCH;
    Artificial neural nets (ANNs)

    19. Interest rates and implied pricing

    Problems with interest rate models;
    Key relationships;
    The interest rate case;
    The implied pricing method;
    Regularisation functions;
    Patching tails onto pricing densities

    Afterword

    Notation

    Glossary of mathematical, market and model terms

    References

    Author Index

    Subject Index