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Interest Rate Modelling

by Jessica James

  • ISBN: 9780471975236
  • ISBN10: 0471975230

Interest Rate Modelling

by Jessica James

  • List Price: $190.00
  • Binding: Hardcover
  • Publisher: John Wiley & Sons Inc
  • Publish date: 06/01/2000
  • ISBN: 9780471975236
  • ISBN10: 0471975230
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Description: This volume covers developments in the interest rate markets, with descriptions and implementation techniques for all the major classes of interest rate models. It covers those models already in practice, as well as theoretical models. The major categories of interest rate models analysed include: Affine models; HJM models; market models; Consol-based models; and lesser known types such as random field models, jump-augmented models, price kernel/positive models, and official rate models. Implementation methods are also discussed in full, including the latest developments in the use of finite difference methods, Monte Carlo methods and lattice methods, and their particular application to the valuation of interest rate derivatives.

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 nave valuation and implementation techniques. There follow as full analysis of interest rate models including major categories, such as affine, HJM and market models, and in addition, lesser will know 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 of the valuation of interest rate derivatives.

Containing previously unpublished material, Interest Rate Modelling is a key reference work both for practitioners developing and implementation models for real and for academics teaching and researching in the field.

As interest rate marketscontinue 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 in 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.

"Interest Rate Modelling is an encyclopaedic 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 work 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

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