ISBN:
9781403946027
Language:
English
Pages:
Online-Ressource (XI, 275 p, online resource)
Series Statement:
Finance and Capital Markets Series
Series Statement:
SpringerLink
Series Statement:
Bücher
Series Statement:
Springer eBook Collection
Series Statement:
Palgrave Economics & Finance Collection
Series Statement:
Springer ebook collection / Palgrave Economics and Finance Collection 2000 - 2013
Parallel Title:
Erscheint auch als
Parallel Title:
Printed edition
Keywords:
Zins
;
Optionspreistheorie
;
Zinsderivat
;
Zinsstruktur
;
Finanzmathematik
;
Theorie
;
Wirtschaftsmodell
;
Economics
;
Interest rates Mathematical models
;
Business enterprises Finance
;
Investment banking
;
Securities
;
Business
;
Management science
;
Macroeconomics
;
Business enterprises
;
Financial services industry.
;
Mathematisches Modell
;
Zinsfuß
Abstract:
Growth in the derivatives market has brought with it a greater volume and range of interest rate dependent products. These products have become increasingly innovative and complex to price, requiring sophisticated market models that capture the full dynamics of the yield curve. A study of the evolution of interest rate modelling theory places these models in the correct mathematical context, allowing appreciation of their key assumptions, concepts and implications. The book guides the practitioner through the derivation and implementation of a variety of models that account for the characteristics and irregularities of observed term structures
Description / Table of Contents:
Cover; Contents; Introduction; CHAPTER 1 The Vasicek Model; CHAPTER 2 The Cox, Ingersoll and Ross Model; CHAPTER 3 The Brennan and Schwartz Model; CHAPTER 4 Longstaff and Schwartz: A Two-Factor Equilibrium Model; CHAPTER 5 Langetieg's Multi-Factor Equilibrium Framework; CHAPTER 6 The Ball and Torous Model; CHAPTER 7 The Hull and White Model; CHAPTER 8 The Black, Derman and Toy One-Factor Interest Rate Model; CHAPTER 9 The Black and Karasinski Model; CHAPTER 10 The Ho and Lee Model; CHAPTER 11 The Heath, Jarrow and Morton Model; CHAPTER 12 Brace, Gatarek and Musiela Model
Description / Table of Contents:
CHAPTER 13 Calibrating the Hull…White extended Vasicek approachCHAPTER 14 Calibrating the Black, Derman and Toy discrete time model; CHAPTER 15 Calibration of the Heath, Jarrow and Morton framework; Closing Remarks; Bibliography; Index
Note:
Includes bibliographical references (p. 271-272) and index
DOI:
10.1057/9781403946027
URL:
Volltext
(Deutschlandweit zugänglich)
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