Building and using dynamic interest rate models
著者
書誌事項
Building and using dynamic interest rate models
（Wiley finance series）
John Wiley & Sons, c2001
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注記
Bibliography: p. [209]-211
Includes index
内容説明・目次
内容説明
This book offers a new approach to interest rate and modeling term structure by using
models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical
simulations. It includes software that will enable readers to simulate the various models covered in the book.
目次
- On the conventional and pure - period loan structure
- differential systems models for asset prices under uncertainty
- a dynamical systems approach to estimating the term structure of interest rates
- a bilevel perturbation model for estimating the term structure
- modelling nonarbitrage and market price of risk in linear differential systems
- characteristics of moments in linear dynamical systems under uncertainty with perturbations
- backtesting with treasury auction data
- a review of semi-infinite programming with a focus on finance. (Part contents)
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