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Interest Rate Models Theory And Practice

Interest Rate Models Theory and Practice PDF
Author: Damiano Brigo
Publisher: Springer Science & Business Media
ISBN: 3662045532
Size: 61.35 MB
Format: PDF, Docs
Category : Mathematics
Languages : en
Pages : 518
View: 899

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Interest Rate Models Theory And Practice

by Damiano Brigo, Interest Rate Models Theory And Practice Books available in PDF, EPUB, Mobi Format. Download Interest Rate Models Theory And Practice books, 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.




Interest Rate Models Theory And Practice

Interest Rate Models   Theory and Practice PDF
Author: Damiano Brigo
Publisher: Springer Science & Business Media
ISBN: 354034604X
Size: 39.98 MB
Format: PDF, Mobi
Category : Mathematics
Languages : en
Pages : 982
View: 3787

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Interest Rate Models Theory And Practice

by Damiano Brigo, Interest Rate Models Theory And Practice Books available in PDF, EPUB, Mobi Format. Download Interest Rate Models Theory And Practice books, 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.




Interest Rate Modelling

Interest Rate Modelling PDF
Author: Jessica James
Publisher: John Wiley & Sons Incorporated
ISBN:
Size: 42.74 MB
Format: PDF, ePub
Category : Business & Economics
Languages : en
Pages : 654
View: 6674

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Interest Rate Modelling

by Jessica James, Interest Rate Modelling Books available in PDF, EPUB, Mobi Format. Download Interest Rate Modelling books, 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.




Interest Rate Modeling

Interest Rate Modeling PDF
Author: Leif B. G. Andersen
Publisher:
ISBN: 9780984422104
Size: 22.44 MB
Format: PDF
Category : Business & Economics
Languages : en
Pages : 1154
View: 111

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Interest Rate Modeling

by Leif B. G. Andersen, Interest Rate Modeling Books available in PDF, EPUB, Mobi Format. Download Interest Rate Modeling books, "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.




Consistency Problems For Heath Jarrow Morton Interest Rate Models

Consistency Problems for Heath Jarrow Morton Interest Rate Models PDF
Author: Damir Filipovic
Publisher: Springer
ISBN: 354044548X
Size: 41.62 MB
Format: PDF, Docs
Category : Mathematics
Languages : en
Pages : 138
View: 655

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Consistency Problems For Heath Jarrow Morton Interest Rate Models

by Damir Filipovic, Consistency Problems For Heath Jarrow Morton Interest Rate Models Books available in PDF, EPUB, Mobi Format. Download Consistency Problems For Heath Jarrow Morton Interest Rate Models books, Bond markets differ in one fundamental aspect from standard stock markets. While the latter are built up to a finite number of trade assets, the underlying basis of a bond market is the entire term structure of interest rates: an infinite-dimensional variable which is not directly observable. On the empirical side, this necessitates curve-fitting methods for the daily estimation of the term structure. Pricing models, on the other hand, are usually built upon stochastic factors representing the term structure in a finite-dimensional state space. Written for readers with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, this research monograph has threefold aims: to bring together estimation methods and factor models for interest rates, to provide appropriate consistency conditions and to explore some important examples.




Interest Rate Models An Infinite Dimensional Stochastic Analysis Perspective

Interest Rate Models  an Infinite Dimensional Stochastic Analysis Perspective PDF
Author: René Carmona
Publisher: Springer Science & Business Media
ISBN: 3540270671
Size: 61.89 MB
Format: PDF, ePub, Docs
Category : Mathematics
Languages : en
Pages : 236
View: 1999

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Interest Rate Models An Infinite Dimensional Stochastic Analysis Perspective

by René Carmona, Interest Rate Models An Infinite Dimensional Stochastic Analysis Perspective Books available in PDF, EPUB, Mobi Format. Download Interest Rate Models An Infinite Dimensional Stochastic Analysis Perspective books, 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




Interest Rate Modeling

Interest Rate Modeling PDF
Author: Lixin Wu
Publisher: CRC Press
ISBN: 1420090577
Size: 24.35 MB
Format: PDF, ePub, Mobi
Category : Mathematics
Languages : en
Pages : 354
View: 4768

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Interest Rate Modeling

by Lixin Wu, Interest Rate Modeling Books available in PDF, EPUB, Mobi Format. Download Interest Rate Modeling books, 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 approach, and handles option evaluations with precise numerical methods. The text begins with the mathematical foundations, including Ito’s calculus and the martingale representation theorem. It then introduces bonds and bond yields, followed by the Heath–Jarrow–Morton (HJM) model, which is the framework for no-arbitrage pricing models. The next chapter focuses on when the HJM model implies a Markovian short-rate model and discusses the construction and calibration of short-rate lattice models. In the chapter on the LIBOR market model, the author presents the simplest yet most robust formula for swaption pricing in the literature. He goes on to address model calibration, an important aspect of model applications in the markets; industrial issues; and the class of affine term structure models for interest rates. Taking a top-down approach, Interest Rate Modeling provides readers with a clear picture of this important subject by not overwhelming them with too many specific models. The text captures the interdisciplinary nature of the field and shows readers what it takes to be a competent quant in today’s market. This book can be adopted for instructional use. For this purpose, a solutions manual is available for qualifying instructors.




An Elementary Introduction To Stochastic Interest Rate Modeling

An Elementary Introduction to Stochastic Interest Rate Modeling PDF
Author: Nicolas Privault
Publisher: World Scientific
ISBN: 9814390852
Size: 56.61 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 228
View: 6525

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An Elementary Introduction To Stochastic Interest Rate Modeling

by Nicolas Privault, An Elementary Introduction To Stochastic Interest Rate Modeling Books available in PDF, EPUB, Mobi Format. Download An Elementary Introduction To Stochastic Interest Rate Modeling books, Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of concepts with a focus on explicit calculations. Each chapter is accompanied with exercises and their complete solutions, making the book suitable for advanced undergraduate and graduate level students. This second edition retains the main features of the first edition while incorporating a complete revision of the text as well as additional exercises with their solutions, and a new introductory chapter on credit risk. The stochastic interest rate models considered range from standard short rate to forward rate models, with a treatment of the pricing of related derivatives such as caps and swaptions under forward measures. Some more advanced topics including the BGM model and an approach to its calibration are also covered.




Interest Rate Modeling Post Crisis Challenges And Approaches

Interest Rate Modeling  Post Crisis Challenges and Approaches PDF
Author: Zorana Grbac
Publisher: Springer
ISBN: 3319253859
Size: 38.78 MB
Format: PDF, ePub
Category : Mathematics
Languages : en
Pages : 140
View: 585

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Interest Rate Modeling Post Crisis Challenges And Approaches

by Zorana Grbac, Interest Rate Modeling Post Crisis Challenges And Approaches Books available in PDF, EPUB, Mobi Format. Download Interest Rate Modeling Post Crisis Challenges And Approaches books, Filling a gap in the literature caused by the recent financial crisis, this book provides a treatment of the techniques needed to model and evaluate interest rate derivatives according to the new paradigm for fixed income markets. Concerning this new development, there presently exist only research articles and two books, one of them an edited volume, both being written by researchers working mainly in practice. The aim of this book is to concentrate primarily on the methodological side, thereby providing an overview of the state-of-the-art and also clarifying the link between the new models and the classical literature. The book is intended to serve as a guide for graduate students and researchers as well as practitioners interested in the paradigm change for fixed income markets. A basic knowledge of fixed income markets and related stochastic methodology is assumed as a prerequisite.




Interest Rate Derivatives Explained Volume 2

Interest Rate Derivatives Explained  Volume 2 PDF
Author: Jörg Kienitz
Publisher: Springer
ISBN: 1137360194
Size: 74.63 MB
Format: PDF, Kindle
Category : Business & Economics
Languages : en
Pages : 248
View: 1784

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Interest Rate Derivatives Explained Volume 2

by Jörg Kienitz, Interest Rate Derivatives Explained Volume 2 Books available in PDF, EPUB, Mobi Format. Download Interest Rate Derivatives Explained Volume 2 books, This book on Interest Rate Derivatives has three parts. The first part is on financial products and extends the range of products considered in Interest Rate Derivatives Explained I. In particular we consider callable products such as Bermudan swaptions or exotic derivatives. The second part is on volatility modelling. The Heston and the SABR model are reviewed and analyzed in detail. Both models are widely applied in practice. Such models are necessary to account for the volatility skew/smile and form the fundament for pricing and risk management of complex interest rate structures such as Constant Maturity Swap options. Term structure models are introduced in the third part. We consider three main classes namely short rate models, instantaneous forward rate models and market models. For each class we review one representative which is heavily used in practice. We have chosen the Hull-White, the Cheyette and the Libor Market model. For all the models we consider the extensions by a stochastic basis and stochastic volatility component. Finally, we round up the exposition by giving an overview of the numerical methods that are relevant for successfully implementing the models considered in the book.