Modeling the term structure of interest rates : a review of the literature
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Bibliographic Information
Modeling the term structure of interest rates : a review of the literature
（Foundations and trends in finance, v. 5,
now Publishers, c2010
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"This book originally published as Foundations and Trends[R] in Finance Volume 5 Issues 1-2 (2010)"--[4] p. of cover
Bibliography: p. 149-159
Description and Table of Contents
Description
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
The aim of this survey is to provide a comprehensive review of these continuous time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives. The originality of the survey lies in the fact that it provides a unifying framework in which most continuous-time term structure models can be nested and thus related to each other. Thus, it presents the most important continuous-time term structure models in the literature but also provide a mathematically rigorous and unifying setting in which these models can be compared in terms of their similarities, distinguished in terms of their idiosyncratic features and in which their main contributions and limitations can easily be highlighted.
Table of Contents
1. Introduction. 2. Term Structure Models Taxonomy. 3. Our Mathematical Framework. 4. Economic Theories of the Term Structure of Interest Rates. 5. Short Term Rate Models. 6. Univariate and Multivariate HJM models. 7. Libor/Market Models. 8. Empirical Evidence on Term Structure Models. 9. Model misspecification in term structure modeling. 10. Simulation of Interest Rate Models. 11. Conclusion. 12. Appendices. 13. References
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