Download or read book Efficient Methods for Valuing Interest Rate Derivatives written by Antoon Pelsser and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an overview of the models that can be used for valuing and managing interest rate derivatives. Split into two parts, the first discusses and compares the traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently developed Market models. Unlike most of his competitors, the author's focus is not only on the mathematics: Antoon Pelsser draws on his experience in industry to explore a host of practical issues.

Download or read book Generalized Method of Moments written by Alastair R. Hall and published by Oxford University Press. This book was released on 2005 with total page 413 pages. Available in PDF, EPUB and Kindle. Book excerpt: Generalized Method of Moments (GMM) has become one of the main statistical tools for the analysis of economic and financial data. This book is the first to provide an intuitive introduction to the method combined with a unified treatment of GMM statistical theory and a survey of recentimportant developments in the field. Providing a comprehensive treatment of GMM estimation and inference, it is designed as a resource for both the theory and practice of GMM: it discusses and proves formally all the main statistical results, and illustrates all inference techniques using empiricalexamples in macroeconomics and finance.Building from the instrumental variables estimator in static linear models, it presents the asymptotic statistical theory of GMM in nonlinear dynamic models. Within this framework it covers classical results on estimation and inference techniques, such as the overidentifying restrictions test andtests of structural stability, and reviews the finite sample performance of these inference methods. And it discusses in detail recent developments on covariance matrix estimation, the impact of model misspecification, moment selection, the use of the bootstrap, and weak instrumentasymptotics.

Download or read book Advances in Fixed Income Valuation Modeling and Risk Management written by Frank J. Fabozzi, CFA and published by John Wiley & Sons. This book was released on 1997-01-15 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Fixed Income Valuation Modeling and Risk Management provides in-depth examinations by thirty-one expert research and opinion leaders on topics such as: problems encountered in valuing interest rate derivatives, tax effects in U.S. government bond markets, portfolio risk management, valuation of treasury bond futures contract's embedded options, and risk analysis of international bonds.

Download or read book Interest Rate Modelling written by Jessica James and published by John Wiley & Sons. This book was released on 2000-06-08 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: Back Cover ( this section should include endorsements also) As interest rate markets continue to innovate and expand it is becoming increasingly important to remain up-to-date with the latest practical and theoretical developments. This book covers the latest developments in full, with descriptions and implementation techniques for all the major classes of interest rate models - both those actively used in practice as well as theoretical models still 'waiting in the wings'. Interest rate models, implementation methods and estimation issues are discussed at length by the authors as are important new developments such as kernel estimation techniques, economic based models, implied pricing methods and models on manifolds. Providing balanced coverage of both the practical use of models and the theory that underlies them, Interest Rate Modelling adopts an implementation orientation throughout making it an ideal resource for both practitioners and researchers. Back Flap Jessica James Jessica James is Head of Research for Bank One's Strategic Risk Management group, based in the UK. Jessica started life as a physicist at Manchester University and completed her D Phil in Theoretical Atomic and Nuclear Physics at Christ Church, Oxford, under Professor Sandars. After a year as a college lecturer at Trinity, Oxford, she began work at the First National Bank of Chicago, now Bank One, where she still works. She is well known as a speaker on the conference circuit, lecturing on a variety of topics such as VaR, capital allocation, credit derivatives and interest rate modelling, and has published articles on various aspects of financial modelling. Nick Webber Nick Webber is a lecturer in Finance at Warwick Business School. Prior to his academic career, Nick had extensive experience in the industrial and commercial world in operational research and computing. After obtaining a PhD in Theoretical Physics from Imperial College he began research into financial options. His main area of research centres on interest rate modelling and computational finance. He has taught practitioner and academic courses for many years, chiefly on options and interest rates. Front Flap Interest Rate Modelling provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products. A series of introductory chapters reviews the theoretical background, pointing out the problems in using naïve valuation and implementation techniques. There follows a full analysis of interest rate models including major categories, such as Affine, HJM and Market models, and in addition, lesser well known types that include Consol, Random field and Jump-augmented Models. Implementation methods are discussed in depth including the latest developments in the use of finite difference, Lattice and Monte Carlo methods and their particular application to the valuation of interest rate derivatives. Containing previously unpublished material, Interest Rate Modelling is a key reference work both for practitioners developing and implementing models for real and for academics teaching and researching in the field.

Download or read book The Volatility of Short term Interest Rates written by Clark Leavitt and published by . This book was released on 1987 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modelling Stock Market Volatility written by Peter H. Rossi and published by Elsevier. This book was released on 1996-11-19 with total page 505 pages. Available in PDF, EPUB and Kindle. Book excerpt: This essay collection focuses on the relationship between continuous time models and Autoregressive Conditionally Heteroskedastic (ARCH) models and applications. For the first time, Modelling Stock Market Volatility provides new insights about the links between these two models and new work on practical estimation methods for continuous time models. Featuring the pioneering scholarship of Daniel Nelson, the text presents research about the discrete time model, continuous time limits and optimal filtering of ARCH models, and the specification and estimation of continuous time processes. This work will lead to a rapid growth in their empirical application as they are increasingly subjected to routine specification testing. - Provides for the first time new insights on the links between continuous time and ARCH models - Collects seminal scholarship by some of the most renowned researchers in finance and econometrics - Captures complex arguments underlying the approximation and proper statistical modelling of continuous time volatility dynamics

Download or read book Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models written by Dennis Bams and published by . This book was released on 1998 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Bond and Money Markets written by Moorad Choudhry and published by Butterworth-Heinemann. This book was released on 2003-07-04 with total page 1152 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Bond and Money Markets is an invaluable reference to all aspects of fixed income markets and instruments. It is highly regarded as an introduction and an advanced text for professionals and graduate students.Features comprehensive coverage of: * Government and Corporate bonds, Eurobonds, callable bonds, convertibles * Asset-backed bonds including mortgages and CDOs * Derivative instruments including futures, swaps, options, structured products* Interest-rate risk, duration analysis, convexity, and the convexity bias * The money markets, repo markets, basis trading, and asset/liability management * Term structure models, estimating and interpreting the yield curve * Portfolio management and strategies,total return framework, constructing bond indices* A stand alone reference book on interest rate swaps, the money markets, financial market mathematics, interest-rate futures and technical analysis * Includes introductory coverage of very specialised topics (for which one previously required several texts) such as VaR, Asset & liability management and credit derivatives * Combines accessible style with advanced level topics

Download or read book On Alternative Interest Rate Processes written by Magnus Dahlquist and published by . This book was released on 1994 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Advances in Risk Management written by G. Gregoriou and published by Springer. This book was released on 2006-11-17 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important book brings together an edited series of papers about risk management and the latest developments in the field. Covering topics such as Stochastic Volatility, Risk Dynamics and Portfolio Diversification, this book is vital for optimal portfolio allocation for private and institutional investors, and is an indispensable tool.

Download or read book Default Risk in Bond and Credit Derivatives Markets written by Christoph Benkert and published by Springer Science & Business Media. This book was released on 2012-08-27 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions. Consequently, the focus of this book is on empirical work. Within an intensity based modelling framework a broad range of promising specifications is tested using corporate bond data. The book provides one of the most comprehensive empirical studies in the field, from Kalman filtration of affine term structure models to the use of Efficient Method of Moments estimation of dynamic term structure models in a default risky context. Filling another gap in empirical research, the book devotes special attention to the identification factors that can explain credit default swap premia.

Download or read book Term Structure of Interest Rates with Regime Shifts written by Ravi Bansal and published by . This book was released on 2001 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Economics Letters Volume 55 No 1 15 August 1997 written by Eric Maskin,Editor and published by . This book was released on 1997 with total page 880 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Recent Developments in Financial Economics written by and published by . This book was released on 1993 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dissertation Abstracts International written by and published by . This book was released on 2007 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures written by René M. Stulz and published by . This book was released on 2004 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Tests of Two State variable HJM Models written by Robert R. Bliss and published by . This book was released on 1995 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: