eBook.de : Ihr Online Shop für eBooks, Reader, Downloads und Bücher

Connect 01/2015 eBook-Shops: Testsieger im epub Angebot, Testurteil: gut Die Welt: Kundenorientierte Internetseiten Prädikat GOLD
+49 (0)40 4223 6096
€ 0,00

Zur Kasse

PORTO-
FREI

Interest Rate Modelling

Sprache: Englisch.
Lieferbar innerhalb von zwei Wochen
Buch (gebunden)
Buch € 168,49* inkl. MwSt.
Portofrei*
Produktdetails
Titel: Interest Rate Modelling
Autor/en: Jessica James, Nick Webber

ISBN: 0471975230
EAN: 9780471975236
Sprache: Englisch.
JOHN WILEY & SONS INC

Juni 2000 - gebunden - 676 Seiten

Ein wichtiges Nachschlagewerk für alle Experten, die mit der Entwicklung und Implementierung von Zinsmodellen zu tun haben sowie für Dozenten und Wissenschaftler. Dies ist das detaillierteste Buch zum Thema Zinsmodelle und Implementierungstechniken, das gegenwärtig auf dem Markt ist. Die jüngsten Entwicklungen auf dem Gebiet der Zinsmärkte werden umfassend und in allen Einzelheiten diskutiert. Daneben gibt es einführende Kapitel zum theoretischen Hintergrund, zur Bewertung und Absicherung von Zinsprodukten und Zinsmärkten sowie einen kurzen Abriß zur Geschichte der Zinsentwicklung im Laufe der Jahrhunderte. (07/99)
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
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 DPhil 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 he 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 ahs published articles on various aspects of financial modelling.
"Interest Rate Modelling is an encyclopedic treatment of interest rates and their related financial derivatives. It combines advanced theory with extensive and down-to-earth data analysis in a way which is truly unique. For practitioners, students and scholars in the field, this impressive wok will be the standard reference for years to come.," Professor Tomas Bjork,, Stockholm School of Economics#."..an excellent book. I am particularly pleased by its breadth and range of topics...the reader is provided with an informative and readable exposition.," Dr Farshid Jamshidian,, NetAnalytic#"I particularly like the strong emphasis on the practicalities and calibration of interest rate models. This book will be invaluable as a comprehensive reference to students, researchers, and practitioners.," Professor Francis Longstaff,, The Anderson School at UCLA#"This is a carefully written, scholarly but fascinating presentation of the field of Interest Rate Modelling. It combines the best of two worlds: the rigour expected from finance in acamedia with the relevance expected from finance in practice. James and Webber are truly masters of their market since this book is surely a must-buy for both researchers and practitioners. If only all finance books were written with this care and attention to detail.," Dr Neil Johnson,, Clarendon Laboratory, Oxford#"Today, interest rates are key economic instruments. This is a mammoth treatise and must surely rank as one of the most comprehensive available on the topic. Anyone interested in modelling or simulating the behaviour of interest rates, be they practitioner, economist, mathematician or new entrant to the subject, will find within a wealth of pertinent material.," Professor Peter Richmond,, Trinity College Dublin#

Gedruckte Welten


 
Bücher bei eBook.de entdecken.

 

Jetzt die besten Bücher entdecken!

Kunden, die diesen Artikel gekauft haben, kauften auch

Das Messias-Projekt
- 54% **
eBook
von Markus Ridder
Print-Ausgabe € 10,99
Die Fotografin - Psychothriller
eBook
von B.C. Schiller
Splitter
eBook
von Sebastian Fit…
Harry Potter 1 und der Stein der Weisen
Buch (gebunden)
von Joanne K. Row…

Kundenbewertungen zu Jessica James, Nick… „Interest Rate Modelling“

Noch keine Bewertungen vorhanden
Zur Rangliste der Rezensenten
Veröffentlichen Sie Ihre Kundenbewertung:
Kundenbewertung schreiben

Diese Artikel könnten Sie auch interessieren

Harry Potter 1 und der Stein der Weisen. Schmuckausgabe
Buch (gebunden)
von Joanne K. Row…
Küstenmorde
- 9% **
eBook
von Nina Ohlandt
Print-Ausgabe € 9,90
Mörderischer Mistral
- 20% **
eBook
von Cay Rademache…
Print-Ausgabe € 9,99
tolino shine 2 HD
- 9% **
Hardware
Statt € 119,00
tolino epos
- 20% **
Hardware
Statt € 249,00

Unsere Leistungen auf einen Klick

Unser Service für Sie

Zahlungsmethoden
Bequem, einfach und sicher mit eBook.de. mehr Infos akzeptierte Zahlungsarten: Überweisung, offene Rechnung,
Visa, Master Card, American Express, Paypal mehr Infos
Geprüfte Qualität
  • Schnelle Downloads
  • Datenschutz
  • Sichere Zahlung
  • SSL-Verschlüsselung
Servicehotline
+49 (0)40 4223 6096
Mo. - Fr. 8.00 - 20.00 Uhr
Sa. 10.00 - 18.00 Uhr
Chat
Ihre E-Mail-Adresse eintragen und kostenlos informiert werden:
* Alle Preise verstehen sich inkl. der gesetzlichen MwSt. Informationen über den Versand und anfallende Versandkosten finden Sie hier.
Artikel mit dem Hinweis "Pünktlich zum Fest" werden an Lieferadressen innerhalb Deutschlands rechtzeitig zum 24.12.2017 geliefert.
Bei als portofrei markierten Produkten bezieht sich dies nur auf den Versand innerhalb Deutschlands.

** im Vergleich zum dargestellten Vergleichspreis.
eBook.de - Meine Bücher immer dabei
eBook.de ist eine Marke der Hugendubel Digital GmbH & Co. KG
Folgen Sie uns unter: