Ein wichtiges Nachschlagewerk für alle Experten, die mit der Entwicklung und Implementierung von Zinsmodellen zu tun haben sowie für Dozenten und Wissenschaftler. Dies ist das detaillierteste Buch zum Thema Zinsmodelle und Implementierungstechniken, das gegenwärtig auf dem Markt ist. Die jüngsten Entwicklungen auf dem Gebiet der Zinsmärkte werden umfassend und in allen Einzelheiten diskutiert. Daneben gibt es einführende Kapitel zum theoretischen Hintergrund, zur Bewertung und Absicherung von Zinsprodukten und Zinsmärkten sowie einen kurzen Abriß zur Geschichte der Zinsentwicklung im Laufe der Jahrhunderte. (07/99)…mehr
Ein wichtiges Nachschlagewerk für alle Experten, die mit der Entwicklung und Implementierung von Zinsmodellen zu tun haben sowie für Dozenten und Wissenschaftler. Dies ist das detaillierteste Buch zum Thema Zinsmodelle und Implementierungstechniken, das gegenwärtig auf dem Markt ist. Die jüngsten Entwicklungen auf dem Gebiet der Zinsmärkte werden umfassend und in allen Einzelheiten diskutiert. Daneben gibt es einführende Kapitel zum theoretischen Hintergrund, zur Bewertung und Absicherung von Zinsprodukten und Zinsmärkten sowie einen kurzen Abriß zur Geschichte der Zinsentwicklung im Laufe der Jahrhunderte. (07/99)
Jessica James is an award-winning author of suspense/thrillers, historical fiction, and heartwarming Southern novels. She is a four-time winner of the John Esten Cooke Award for Southern Fiction, and has won more than a dozen other literary awards, including a Readers' Favorite International Book Award and a Gold Medal from the Military Writers Society of America. Her novels are clean reads with emotional plots, fascinating characters, jaw-dropping twists, and occasional touches of heart-warming romance.
Inhaltsangabe
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
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
Rezensionen
"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#…mehr
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