Interest Rate Modelling

Interest Rate Modelling

by S. Svoboda

Hardcover(2004)

$310.00
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Overview

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.

Product Details

ISBN-13: 9781403934703
Publisher: Palgrave Macmillan UK
Publication date: 12/19/2003
Series: Finance and Capital Markets Series , #13977
Edition description: 2004
Pages: 275
Product dimensions: 6.10(w) x 9.25(h) x 0.03(d)

About the Author

Simona Svoboda is a Quant on the interest rates structuring desk, Rand Merchant Bank, South Africa.

Table of Contents

Introduction The Vasicek Model The Cox, Ingersoll and Ross Model The Brennan and Schwartz Model Longstaff® and Schwartz: A Two-Factor Equilibrium Model Langetieg's Multi Factor Equilibrium Framework The Ball and Torous Model The Hull and White Model The Black, Derman and Toy One-Factor Interest Rate Model The Black and Karasinski Model The Ho and Lee Model The Heath, Jarrow and Morton Model Brace, Gatarek and Musiela Model Calibration of the Hull White - Extended Vasicek Approach Calibration of the Black, Derman and Toy Discrete Time Model Calibration of the Heath, Jarrow and Jorton Framework Conclusion Bibliography

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