Interest Rate Modelling

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.

Informationen zum Autor 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. Klappentext 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) Zusammenfassung 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. Inhaltsverzeichnis Part I: Introduction to interest rate modelling1. Introduction to interest ratesInterest rate behaviour; Basic concepts; Interest rate markets; Historical and current data; Uses of interest rate models; Conclusion2. Interest rates in historyInterest rates in monetary history; Characteristics of interest rate behaviour3. Introduction to interest rate modellingYield curve basics; Describing interest rate processes; Introducton to interest rate models; Categories of interest rate model; The role of the short rate4. Interest rate models: theorySummary of valuationA theoretical market framework; Fundamentals of pricing; valuing by change of numeraire; Derivatives in the extended Vasicek model5. Basic modelling toolsIntroduction to valuation; Introduction to estimation; Statistical tests; Yield curve stripping; The convexity adjustment6. Densities and distributionsThe density function; Kernel methods; Boundary behaviour; Interest rate models at extreme values of interest rates; Tail distributionsPart II Interest rate models7. Affine modelsAffine 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 models8. Market models and the Heath, Jarrow and Morton frameworkIntroduction to the Heath, Jarrow and Morton model; Volatility functions in HJM; Market models; General market models9. Other interest rate modelsConsol models; Price kernet models; Positive interest rate models; Non-linear models10. General formulations of interest rate modelsJump processes; Random field models; A general model; Jump models11. Economic modelsEconomics and interest ratesAn 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 kernelPart III Valuation methods12. Finite difference methodsThe 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 PDDE13. Valuation: the Monte Carlo methodThe basic Monte Carlo method; Speed-up methods; Sampling issues; Simulation methods for HJM models14. Lattice methodsIntroduction to lattice methods; Issu...

Zusammenfassung
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.

Inhalt

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…