Term Structure Models

Author : Damir Filipovic
Publisher : Springer Science & Business Media
Page : 259 pages
File Size : 52,9 Mb
Release : 2009-07-28
Category : Mathematics
ISBN : 9783540680154

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Term-Structure Models by Damir Filipovic Pdf

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 : Sanjay K. Nawalkha,Gloria M. Soto,Natalia A. Beliaeva
Publisher : John Wiley & Sons
Page : 722 pages
File Size : 45,8 Mb
Release : 2007-05-23
Category : Business & Economics
ISBN : 9780470140062

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Dynamic Term Structure Modeling by Sanjay K. Nawalkha,Gloria M. Soto,Natalia A. Beliaeva Pdf

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 : Rajna Gibson,François-Serge Lhabitant,Denis Talay
Publisher : Now Publishers Inc
Page : 171 pages
File Size : 53,6 Mb
Release : 2010
Category : Business & Economics
ISBN : 9781601983725

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Modeling the Term Structure of Interest Rates by Rajna Gibson,François-Serge Lhabitant,Denis Talay Pdf

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 : L. Krippner
Publisher : Springer
Page : 409 pages
File Size : 47,7 Mb
Release : 2015-01-05
Category : Business & Economics
ISBN : 9781137401823

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Zero Lower Bound Term Structure Modeling by L. Krippner Pdf

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 : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 530 pages
File Size : 45,6 Mb
Release : 2002-11-29
Category : Business & Economics
ISBN : 9780471446989

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Interest Rate, Term Structure, and Valuation Modeling by Frank J. Fabozzi Pdf

This ultimate guide contains an excellent blend of theory and practice This comprehensive guide covers various aspects of model building for fixed income securities and derivatives. Filled with expert advice, valuable insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a book that all institutional investors, portfolio managers, and risk professionals should have. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles-which include numerous bestsellers—The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.

Author : Gerald William Buetow,James S. Sochacki,Research Foundation of AIMR.
Publisher : Cfa Inst
Page : 94 pages
File Size : 43,6 Mb
Release : 2001-01-01
Category : Business & Economics
ISBN : 0943205530

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Term-structure Models Using Binomial Trees by Gerald William Buetow,James S. Sochacki,Research Foundation of AIMR. Pdf

Author : Riccardo Rebonato
Publisher : Unknown
Page : 781 pages
File Size : 50,7 Mb
Release : 2018-06-07
Category : Business & Economics
ISBN : 9781107165854

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Bond Pricing and Yield Curve Modeling by Riccardo Rebonato Pdf

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,M R Tehranchi
Publisher : Springer Science & Business Media
Page : 236 pages
File Size : 49,5 Mb
Release : 2007-05-22
Category : Mathematics
ISBN : 9783540270676

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Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective by René Carmona,M R Tehranchi Pdf

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 : Leif B. G. Andersen,Vladimir V. Piterbarg
Publisher : Unknown
Page : 1154 pages
File Size : 49,9 Mb
Release : 2010
Category : Business & Economics
ISBN : 0984422102

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Interest Rate Modeling by Leif B. G. Andersen,Vladimir V. Piterbarg Pdf

"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
Page : 64 pages
File Size : 55,9 Mb
Release : 2010-11-01
Category : Business & Economics
ISBN : 9781455209583

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On the Estimation of Term Structure Models and An Application to the United States by International Monetary Fund Pdf

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 : Daragh McInerney,Tomasz Zastawniak
Publisher : Cambridge University Press
Page : 171 pages
File Size : 55,7 Mb
Release : 2015-08-13
Category : Business & Economics
ISBN : 9781107002579

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Stochastic Interest Rates by Daragh McInerney,Tomasz Zastawniak Pdf

Designed for Master's students, this practical text strikes the right balance between mathematical rigour and real-world application.

Author : Lin Chen
Publisher : Springer Science & Business Media
Page : 158 pages
File Size : 50,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642468254

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Interest Rate Dynamics, Derivatives Pricing, and Risk Management by Lin Chen Pdf

There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives pricing fonnulas based on each type of model of the tenn structure. The no-arbitrage models are characterized by the work of Ho and Lee (1986), Heath, Jarrow, and Morton (1992), Hull and White (1990 and 1993), and Black, Dennan and Toy (1990). Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest rates. There are a number of disadvantages with their model. First, the model describes the whole volatility structure by a sin gle parameter, implying a number of unrealistic features. Furthennore, the model does not incorporate mean reversion. Black-Dennan-Toy (1990) develop a model along tbe lines of Ho and Lee. They eliminate some of the problems of Ho and Lee (1986) but create a new one: for a certain specification of the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuous models of the term struc ture consistent with the initial tenn structure data.

Author : Francis X. Diebold,Glenn D. Rudebusch
Publisher : Princeton University Press
Page : 225 pages
File Size : 51,6 Mb
Release : 2013-01-15
Category : Business & Economics
ISBN : 9781400845415

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Yield Curve Modeling and Forecasting by Francis X. Diebold,Glenn D. Rudebusch Pdf

Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
Page : 861 pages
File Size : 43,8 Mb
Release : 2006-07-27
Category : Business & Economics
ISBN : 9780387262840

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Encyclopedia of Finance by Cheng-Few Lee Pdf

This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.

Author : Moorad Choudhry,Michele Lizzio
Publisher : Elsevier
Page : 272 pages
File Size : 41,6 Mb
Release : 2015-08-28
Category : Business & Economics
ISBN : 9780080999418

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Advanced Fixed Income Analysis by Moorad Choudhry,Michele Lizzio Pdf

Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry’s method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the financial markets, not mathematics, and he provides few derivations and fewer proofs. He draws on both his personal experience as well as his own research to bring together subjects of practical importance to bond market investors and analysts. Presents practitioner-level theories and applications, never available in textbooks Focuses on financial markets, not mathematics Covers relative value investing, returns analysis, and risk estimation