Interest rate modelling

著者

書誌事項

Interest rate modelling

Jessica James and Nick Webber

（Wiley series in financial engineering）

Wiley, c2000

  • : cloth

大学図書館所蔵 件 / 全26件

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注記

Includes bibliographical references (p. [601]-629) and indexes

内容説明・目次

内容説明

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.

目次

  • Part I: Introduction to interest rate modelling 1. Introduction to interest rates Interest rate behaviour
  • Basic concepts
  • Interest rate markets
  • Historical and current data
  • Uses of interest rate models
  • Conclusion 2. Interest rates in history Interest rates in monetary history
  • Characteristics of interest rate behaviour 3. Introduction to interest rate modelling Yield curve basics
  • Describing interest rate processes
  • Introducton to interest rate models
  • Categories of interest rate model
  • The role of the short rate 4. Interest rate models: theory Summary of valuation A theoretical market framework
  • Fundamentals of pricing
  • valuing by change of numeraire
  • Derivatives in the extended Vasicek model 5. Basic modelling tools Introduction to valuation
  • Introduction to estimation
  • Statistical tests
  • Yield curve stripping
  • The convexity adjustment 6. Densities and distributions The density function
  • Kernel methods
  • Boundary behaviour
  • Interest rate models at extreme values of interest rates
  • Tail distributions Part II Interest rate models 7. Affine models Affine term structure models
  • Interpreting the state variables
  • Types of affine model
  • Examples of one-factor affine models
  • Examples of n-factor affine models
  • A general framework for affine models 8. Market models and the Heath, Jarrow and Morton framework Introduction to the Heath, Jarrow and Morton model
  • Volatility functions in HJM
  • Market models
  • General market models 9. Other interest rate models Consol models
  • Price kernet models
  • Positive interest rate models
  • Non-linear models 10. General formulations of interest rate models Jump processes
  • Random field models
  • A general model
  • Jump models 11. Economic models Economics and interest rates An economically motivated financial model of interest rates
  • An IS-LM based model
  • IS-LM, hyperinflation and extended Vasicek
  • The general equilibrium framework
  • Interpreting the price kernel Part III Valuation methods 12. Finite difference methods The Feynman-Kac Equation
  • Discretising the PDE
  • Simplifying the PDE
  • Explicit methods
  • Implicit methods
  • The Crank-Nicolson method
  • Comparison of methods
  • Implicit boundary conditions
  • Fitting to an initial term structure
  • Finite difference methods in N dimensions
  • Operator splitting
  • A two-dimensional PDE
  • Solving a PDDE 13. Valuation: the Monte Carlo method The basic Monte Carlo method
  • Speed-up methods
  • Sampling issues
  • Simulation methods for HJM models 14. Lattice methods Introduction to lattice methods
  • Issues in constructing a lattice
  • Examples of lattice methods
  • Calibration to market prices
  • The explicit finite difference method
  • Lattices and the Monte Carlo method
  • Non-recombining lattices
  • Conclusions Part IV Calibration and estimation 15. Modelling the yield curve Stripping the yield curve
  • Fitting using parameterised curves
  • Fitting the yield curve using splines
  • Nelson and Siegel curves
  • Comparison of families of curves
  • Kernel methods of yield curve estimations
  • LP and regression methods 16. Principal components analysis Volatility structures
  • Identifying empirical volatility factors
  • Calibrating whole yield curve methods
  • Processes on manifolds
  • Analysis of dynamical systems
  • Conclusions 17. Estimation methods: GMM and ML GMM estimation
  • Implementation issues
  • The efficient method of moments (EMM)
  • Maximum likelihood methods
  • Hierarchy of procedures 18. Further estimation methods Introduction
  • Filtering approaches to estimation
  • The extended Kalman Filter
  • GARCH models
  • Extensions of GARCH
  • Interest rate models and GARCH
  • Artificial neural nets (ANNs) 19. Interest rates and implied pricing Problems with interest rate models
  • Key relationships
  • The interest rate case
  • The implied pricing method
  • Regularisation functions
  • Patching tails onto pricing densities Afterword Notation Glossary of mathematical, market and model terms References Author Index Subject Index

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