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Interest Rate Modelling By: Simona Svoboda Normal price: 125 Our price: 112.5 + postage Bargain: save £12.5 ! Product code: 17970 ISBN: 1403934703 288 pages Format: Hb Published by: Palgrave MacMillan, 2003 There are no reviews available for this book

Description of Interest Rate Modelling

Growth in the derivatives market has brought with it a greater volume and range of interest rate dependent products. These products have become increasingly innovative and complex to price, requiring sophisticated market models that capture the full dynamics of the yield curve. A study of the evolution of interest rate modelling theory places these models in the correct mathematical context, allowing appreciation of their key assumptions, concepts and implications. The book guides the practitioner through the derivation and implementation of a variety of models that account for the characteristics and irregularities of observed term structures.

Interest Rate Modelling - Chapter headings

Introduction The Vasicek Model The Cox, Ingersoll and Ross Model The Brennan and Schwartz Model Longstaff® and Schwartz: A Two-Factor Equilibrium Model Langetieg's Multi Factor Equilibrium Framework The Ball and Torous Model The Hull and White Model The Black, Derman and Toy One-Factor Interest Rate Model The Black and Karasinski Model The Ho and Lee Model The Heath, Jarrow and Morton Model Brace, Gatarek and Musiela Model Calibration of the Hull White - Extended Vasicek Approach Calibration of the Black, Derman and Toy Discrete Time Model Calibration of the Heath, Jarrow and Jorton Framework Conclusion

Authobiography of Simona Svoboda

SIMONA SVOBODA works as a Quantitative Analyst on the interest rates structuring desk at Rand Merchant Bank, South Africa. Prior to this she held positions in asset management and risk where she was involved in the development of market risk VAR models and credit portfolio management.