Interest-rate option models : understanding, analysing and using models for exotic interest-rate options
著者
書誌事項
Interest-rate option models : understanding, analysing and using models for exotic interest-rate options
（Wiley series in financial engineering）
John Wiley & Sons, c1996
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注記
Includes bibliographical references (p. [361]-365) and index
内容説明・目次
内容説明
An interest rate option is a contract giving the beneficiary the right but not an obligation to pay or receive a specific interest rate on a predetermined principle for a set interval. Writing in accessible and non-technical language, the author reviews all the commonly-used interest rate option models, showing how they can be applied and implemented. This book is aimed at market professionals and postgraduate students internationally, working with interest rate dependent options, who find a barrier to entry in the very technical nature of current academic and research literature. Mathematical derivations of the models are only reported in so far as they enhance the understanding of the model - the emphasis is on accessibility and ease of understanding.
目次
- PART I: THE NEED FOR YIELD CURVE ESTIMATION: Definition and Valuation of Underlying Instruments
- A Motivation for Yield Curve Models
- PART II: THE THEORETICAL TOOLS: The Analytic and Probabilistic Tools
- The Conditions of No Arbitrage
- PART III: THE IMPLEMENTATION TOOLS: Lattice Methods
- Monte Carlo Methods
- PART IV: ANALYSES OF SPECIFIC MODELS: The Black Derman and Toy Model
- The Hull and White Approach
- The Longstaff and Schwartz Model
- The Brennan and Schwartz Model
- The Heath Jarrow and Morton Approach
- PART V: GENERAL TOPICS: Markovian and Non-Markovian Interest Rate Models.
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