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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: 11.85 MB
Format: PDF
Category : Mathematics
Languages : en
Pages : 518
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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 Modeling Term Structure Models One Factor Short Rate Models I One Factor Short Rate Models Ii Multi Factor Short Rate Models The Quasi Gaussian Model The Libor Market Model I The Libor Market Model Ii

Interest Rate Modeling  Term structure models  One factor short rate models I   One factor short rate models II   Multi factor short rate models   The quasi Gaussian model   The Libor market model I   The Libor market model II PDF
Author: Leif B. G. Andersen
Publisher:
ISBN: 9780984422111
Size: 79.63 MB
Format: PDF, ePub, Mobi
Category : Business & Economics
Languages : en
Pages : 1154
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Interest Rate Modeling Term Structure Models One Factor Short Rate Models I One Factor Short Rate Models Ii Multi Factor Short Rate Models The Quasi Gaussian Model The Libor Market Model I The Libor Market Model Ii

by Leif B. G. Andersen, Interest Rate Modeling Term Structure Models One Factor Short Rate Models I One Factor Short Rate Models Ii Multi Factor Short Rate Models The Quasi Gaussian Model The Libor Market Model I The Libor Market Model Ii Books available in PDF, EPUB, Mobi Format. Download Interest Rate Modeling Term Structure Models One Factor Short Rate Models I One Factor Short Rate Models Ii Multi Factor Short Rate Models The Quasi Gaussian Model The Libor Market Model I The Libor Market Model Ii 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.




Interest Rate Modelling

Interest Rate Modelling PDF
Author:
Publisher: Alchemy Technologies
ISBN:
Size: 10.42 MB
Format: PDF, ePub, Mobi
Category :
Languages : en
Pages :
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Interest Rate Modelling

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




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: 36.38 MB
Format: PDF, Mobi
Category : Business & Economics
Languages : en
Pages : 228
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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

Interest Rate Modeling PDF
Author: Lixin Wu
Publisher: CRC Press
ISBN: 1351227416
Size: 75.27 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages : 494
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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 which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd Edition 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. Features Presents a complete cycle of model construction and applications, showing readers how to build and use models Provides a systematic treatment of intriguing industrial issues, such as volatility and correlation adjustments Contains exercise sets and a number of examples, with many based on real market data Includes comments on cutting-edge research, such as volatility-smile, positive interest-rate models, and convexity adjustment New to the 2nd edition: volatility smile modeling; a new paradigm for inflation derivatives modeling; an extended market model for credit derivatives; a dual-curved model for the post-crisis interest-rate derivatives markets; and an elegant framework for the xVA.




Consistency Problems For Heath Jarrow Morton Interest Rate Models

Consistency Problems for Heath Jarrow Morton Interest Rate Models PDF
Author: Damir Filipovic
Publisher: Springer Science & Business Media
ISBN: 9783540414933
Size: 64.28 MB
Format: PDF, Docs
Category : Mathematics
Languages : en
Pages : 138
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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

Interest Rate Models PDF
Author: Andrew J. G. Cairns
Publisher: Princeton University Press
ISBN: 9780691118949
Size: 48.65 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 274
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Interest Rate Models

by Andrew J. G. Cairns, Interest Rate Models Books available in PDF, EPUB, Mobi Format. Download Interest Rate Models books, An Introduction to Interest rate models.




Interest Rate Risk Models

Interest Rate Risk Models PDF
Author: Anthony G. Cornyn
Publisher: Global Professional Publishi
ISBN: 9781888998047
Size: 37.51 MB
Format: PDF
Category : Interest rate risk
Languages : en
Pages : 434
View: 773

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Interest Rate Risk Models

by Anthony G. Cornyn, Interest Rate Risk Models Books available in PDF, EPUB, Mobi Format. Download Interest Rate Risk Models books, � Practical guide for asset-liability managers faced with the decision as to whether to build or buy a financial model � Topics include modeling cash flows, net investment income versus net portfolio value, projections of interest rates, and volatility A guide for asset-liability managers and other investment professionals who are faced with the decision of whether to build or buy a financial model to measure, monitor, and help manage their institution's risk exposure. It reviews the evolution of interest rate risk models and evaluates the state-of-the-art models in use. Includes Modeling cash flows; modeling the term structure; OAS technology; net interest income versus net portfolio value; build versus buy analysis; practical methods for deriving input assumptions; prepayment rates; deposit decay rates; projections of interest rate and volatility.




Interest Rate Models Asset Allocation And Quantitative Techniques For Central Banks And Sovereign Wealth Funds

Interest Rate Models  Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds PDF
Author: A. Berkelaar
Publisher: Palgrave MacMillan
ISBN:
Size: 43.83 MB
Format: PDF, Kindle
Category : Business & Economics
Languages : en
Pages : 366
View: 6379

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Interest Rate Models Asset Allocation And Quantitative Techniques For Central Banks And Sovereign Wealth Funds

by A. Berkelaar, Interest Rate Models Asset Allocation And Quantitative Techniques For Central Banks And Sovereign Wealth Funds Books available in PDF, EPUB, Mobi Format. Download Interest Rate Models Asset Allocation And Quantitative Techniques For Central Banks And Sovereign Wealth Funds books, This edited volume contains essential readings for financial analysts and market practitioners working at Central Banks and Sovereign Wealth Funds. It presents the reader with state-of-the-art methods that are directly implementable, and industry 'best-practices' as followed by leading institutions in their field.