Table of Contents


 
interest rate modelling
Interest Rate Modelling
by Simona Svoboda   ISBN:1403934703
Palgrave Macmillan © 2004 (288 pages)

Growth in the derivatives market has brought an ever-increasing volume and range of interest rate dependent products. This book looks at the predecessors of market models, and describes and explains the general shape of the interest rate term structures.

Table of Contents
Interest Rate Modelling
Introduction
Part I - Interest Rate Models
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
Part II - Calibration
Chapter 13 - Calibrating the Hull”White extended Vasicek approach
Chapter 14 - Calibrating the Black, Derman and Toy discrete time model
Chapter 15 - Calibration of the Heath, Jarrow and Morton framework
Closing Remarks
Bibliography
Index
List of Figures
List of Assumptions


Back Cover

Growth in the derivatives market has brought with it an ever-increasing volume and range of interest rate dependent products. To allow profitable, efficient trading in these products, accurate and mathematically sound valuation techniques are required to make pricing, hedging and risk management of the resulting positions available. Svoboda looks at the predecessors of market models and focuses on describing and explaining the general shape of the interest rate term structure.

About the Author

Simona Svoboda is a Quant on the interest rates structuring desk, Rand Merchant Bank, South Africa.



Interest Rate Modelling

Simona Svoboda

palgrave
macmillan

Copyright 2004 Simona Svoboda

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First published 2004 by PALGRAVE MACMILLAN Houndmills, Basingstoke, Hampshire RG21 6XS and 175 Fifth Avenue, New York, N. Y. 10010 Companies and representatives throughout the world

PALGRAVE MACMILLAN is the global academic imprint of the Palgrave Macmillan division of St. Martin's Press LLC and of Palgrave Macmillan Ltd. Macmillan is a registered trademark in the United States, United Kingdom and other countries. Palgrave is a registered trademark in the European Union and other countries .

1-4039-3470-3

A catalogue record for this book is available from the British Library.

A catalogue record for this book is available from the Library of Congress

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