Term Structure Models
Download Term Structure Models full books in PDF, epub, and Kindle. Read online free Term Structure Models ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads.
Author |
: Damir Filipovic |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 259 |
Release |
: 2009-07-28 |
ISBN-10 |
: 9783540680154 |
ISBN-13 |
: 3540680152 |
Rating |
: 4/5 (54 Downloads) |
Synopsis Term-Structure Models by : Damir Filipovic
Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.
Author |
: Rajna Gibson |
Publisher |
: Now Publishers Inc |
Total Pages |
: 171 |
Release |
: 2010 |
ISBN-10 |
: 9781601983725 |
ISBN-13 |
: 1601983727 |
Rating |
: 4/5 (25 Downloads) |
Synopsis Modeling the Term Structure of Interest Rates by : Rajna Gibson
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author |
: Sanjay K. Nawalkha |
Publisher |
: John Wiley & Sons |
Total Pages |
: 722 |
Release |
: 2007-05-23 |
ISBN-10 |
: 9780470140062 |
ISBN-13 |
: 0470140062 |
Rating |
: 4/5 (62 Downloads) |
Synopsis Dynamic Term Structure Modeling by : Sanjay K. Nawalkha
Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike." --Sanjiv Ranjan Das Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives "Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point." --Nassim Nicholas Taleb author, Dynamic Hedging and The Black Swan "Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models." --Pierre Collin-Dufresne Associate Professor of Finance, UC Berkeley "The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation." --Thomas S. Y. Ho, PHD President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling
Author |
: L. Krippner |
Publisher |
: Springer |
Total Pages |
: 436 |
Release |
: 2015-01-05 |
ISBN-10 |
: 9781137401823 |
ISBN-13 |
: 1137401826 |
Rating |
: 4/5 (23 Downloads) |
Synopsis Zero Lower Bound Term Structure Modeling by : L. Krippner
Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.
Author |
: G. Gregoriou |
Publisher |
: Springer |
Total Pages |
: 229 |
Release |
: 2015-12-26 |
ISBN-10 |
: 9780230295209 |
ISBN-13 |
: 0230295207 |
Rating |
: 4/5 (09 Downloads) |
Synopsis Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models by : G. Gregoriou
This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, it considers new models for hedge funds and derivatives of derivatives, and adds to the literature of testing for the efficiency of markets both theoretically and empirically.
Author |
: Leif B. G. Andersen |
Publisher |
: |
Total Pages |
: 1154 |
Release |
: 2010 |
ISBN-10 |
: 0984422102 |
ISBN-13 |
: 9780984422104 |
Rating |
: 4/5 (02 Downloads) |
Synopsis Interest Rate Modeling by : Leif B. G. Andersen
"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.
Author |
: International Monetary Fund |
Publisher |
: International Monetary Fund |
Total Pages |
: 64 |
Release |
: 2010-11-01 |
ISBN-10 |
: 9781455209583 |
ISBN-13 |
: 1455209589 |
Rating |
: 4/5 (83 Downloads) |
Synopsis On the Estimation of Term Structure Models and An Application to the United States by : International Monetary Fund
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.
Author |
: Riccardo Rebonato |
Publisher |
: |
Total Pages |
: 781 |
Release |
: 2018-06-07 |
ISBN-10 |
: 9781107165854 |
ISBN-13 |
: 1107165857 |
Rating |
: 4/5 (54 Downloads) |
Synopsis Bond Pricing and Yield Curve Modeling by : Riccardo Rebonato
Rebonato provides an authoritative, clear, and up-to-date explanation of the cutting-edge innovations in affine modeling for government bonds, and provides readers with the precise tools to develop their own models. This book combines precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.
Author |
: René Carmona |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 236 |
Release |
: 2007-05-22 |
ISBN-10 |
: 9783540270676 |
ISBN-13 |
: 3540270671 |
Rating |
: 4/5 (76 Downloads) |
Synopsis Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective by : René Carmona
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
Author |
: Ying He |
Publisher |
: International Monetary Fund |
Total Pages |
: 33 |
Release |
: 2011-10-01 |
ISBN-10 |
: 9781463923266 |
ISBN-13 |
: 1463923260 |
Rating |
: 4/5 (66 Downloads) |
Synopsis An Assessment of Estimates of Term Structure Models for the United States by : Ying He
The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox, Ingersoll and Ross family of models, and the estimation techniques. It then presents estimations of some of specific models within these families of models?three-factor Nelson-Siegel Model, four-factor Svensson model, and preference-free, two-factor Cox, Ingersoll and Roll model?for the United States from 1972 to mid 2011. It subsequently provides an assessment of the estimations. It concludes that these estimations of the term structure models successfully capture the dynamics of the term structure in the United States.