|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|
|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|
|List of Figures|
|List of Assumptions|
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.
Copyright 2004 Simona Svoboda
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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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