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catalog contributor b11687629.
catalog contributor b11687630.
catalog contributor b11687631.
catalog created "2000.".
catalog date "2000".
catalog date "2000.".
catalog dateCopyrighted "2000.".
catalog description "1 Introduction to Interest Rates 3 -- 1.1 Interest Rate Behaviour 1 -- 1.3 Interest Rate Markets 9 -- 1.4 Historical and Current Data 14 -- 1.5 Uses of Interest Rate Models 15 -- 2 Interest Rates in History 21 -- 2.1 Interest Rates in Monetary History 21 -- 2.2 Characteristics of Interest Rate Behaviour 33 -- 3 Introduction to Interest Rate Modelling 39 -- 3.1 Yield Curve Basics 39 -- 3.2 Describing Interest Rate Processes 52 -- 3.3 Introduction to Interest Rate Models 59 -- 3.4 Categories of Interest Rate Model 70 -- 3.5 The Role of the Short Rate 77 -- 4 Interest Rate Models: Theory 81 -- 4.1 Summary of Valuation 81 -- 4.2 A Theoretical Market Framework 87 -- 4.3 Fundamentals of Pricing 95 -- 4.4 Valuing by Change of Numeraire 97 -- 4.5 Derivatives in the Extended Vasicek Model 101 -- 5 Basic Modelling Tools 105 -- 5.1 Introduction to Valuation 105 --".
catalog description "12.4 Explicit Methods 315 -- 12.5 Implicit Methods 317 -- 12.6 The Crank-Nicolson Method 319 -- 12.7 Comparison of Methods 320 -- 12.8 Implicit Boundary Conditions 321 -- 12.9 Fitting to an Initial Term Structure 323 -- 12.10 Finite Difference Methods in N Dimensions 326 -- 12.11 Operator Splitting 332 -- 12.12 A Two-Dimensional PDE 340 -- 12.13 Solving a PDDE 344 -- 13 Valuation: The Monte Carlo Method 347 -- 13.1 The Basic Monte Carlo Method 347 -- 13.2 Speed-Up Methods 354 -- 13.3 Sampling Issues 359 -- 13.4 Simulation Methods for HJM Models 375 -- 14 Lattice Methods 381 -- 14.1 Introduction to Lattice Methods 382 -- 14.2 Issues in Constructing a Lattice 394 -- 14.3 Examples of Lattice Methods 401 -- 14.4 Calibration to Market Prices 412 -- 14.5 The Explicit Finite Difference Method 415 -- 14.6 Lattices and the Monte Carlo Method 416 -- 14.7".
catalog description "207 -- 8.4 General Market Models 212 -- 9 Other Interest Rate Models 217 -- 9.1 Consol Models 217 -- 9.2 Price Kernel Models 220 -- 9.3 Positive Interest Rate Models 226 -- 9.4 Non-Linear Models 233 -- 10 General Formulations of Interest Rate Models 237 -- 10.1 Jump Processes 237 -- 10.2 Random Field Models 242 -- 10.3 A General Model 251 -- 10.4 Jump Models 258 -- 11 Economic Models 271 -- 11.1 Economics and Interest Rates 272 -- 11.2 An Economically Motivated Financial Model of Interest Rates 278 -- 11.3 An IS-LM Based Model 284 -- 11.4 IS-LM, Hyperinflation and Extended Vasicek 290 -- 11.5 The General Equilibrium Framework 293 -- 11.6 Interpreting the Price Kernel 303 -- Part III Valuation Methods 307 -- 12 Finite Difference Methods 309 -- 12.1 The Feynman-Kac Equation 309 -- 12.2 Discretising the PDE 311 -- 12.3 Simplifying the PDE 313 --".
catalog description "5.2 Introduction to Estimation 120 -- 5.3 Statistical Tests 126 -- 5.4 Yield Curve Stripping 129 -- 5.5 The Convexity Adjustment 136 -- 6 Densities and Distributions 139 -- 6.1 The Density Function 139 -- 6.2 Kernel Methods 141 -- 6.3 Boundary Behaviour 149 -- 6.4 Interest Rate Models at Extreme Values of Interest Rates 159 -- 6.5 Tail Distributions 168 -- Part II Interest Rate Models 175 -- 7 Affine Models 177 -- 7.1 Affine Term Structure Models 177 -- 7.2 Interpreting the State Variables 179 -- 7.3 Types of Affine Model 180 -- 7.4 Examples of One-Factor Affine Models 183 -- 7.5 Examples of n-Factor Affine Models 188 -- 7.6 A General Framework for Affine Models 193 -- 8 Market Models and the Heath, Jarrow and Morton Framework 199 -- 8.1 Introduction to the Heath, Jarrow and Morton Model 200 -- 8.2 Volatility Functions in HJM 203 -- 8.3 Market Models".
catalog description "Hierarchy of Procedures 509 -- 18 Further Estimation Methods 515 -- 18.2 Filtering Approaches to Estimation 516 -- 18.3 The Extended Kalman Filter 526 -- 18.4 GARCH Models 530 -- 18.5 Extensions of GARCH 535 -- 18.6 Interest Rate Models and GARCH 538 -- 18.7 Artificial Neural Nets (ANNs) 541 -- 19 Interest Rates and Implied Pricing 549 -- 19.1 Problems with Interest Rate Models 550 -- 19.2 Key Relationships 551 -- 19.3 The Interest Rate Case 555 -- 19.4 The Implied Pricing Method 557 -- 19.5 Regularisation Functions 566 -- 19.6 Patching Tails onto Pricing Densities 573.".
catalog description "Includes bibliographical references and index.".
catalog description "Introduction to interest rates -- Interest rate models -- Valuation methods -- Calibration and estimation -- Afterword.".
catalog description "Non-Recombining Lattices 418 -- Part IV Calibration and Estimation 423 -- 15 Modelling the Yield Curve 425 -- 15.1 Stripping the Yield Curve 426 -- 15.2 Fitting Using Parameterised Curves 432 -- 15.3 Fitting the Yield Curve Using Splines 434 -- 15.4 Nelson and Siegel Curves 444 -- 15.5 Comparison of Families of Curves 447 -- 15.6 Kernel Methods of Yield Curve Estimation 448 -- 15.7 LP and Regression Methods 449 -- 16 Principal Components Analysis 455 -- 16.1 Volatility Structures 456 -- 16.2 Identifying Empirical Volatility Factors 459 -- 16.3 Calibrating Whole Yield Curve Models 463 -- 16.4 Processes on Manifolds 465 -- 16.5 Analysis of Dynamical Systems 481 -- 17 Estimation Methods: GMM and ML 487 -- 17.1 GMM Estimation 488 -- 17.2 Implementation Issues 491 -- 17.3 The Efficient Method of Moments (EMM) 500 -- 17.4 Maximum Likelihood Methods 505 -- 17.5".
catalog extent "xviii, 654 p. :".
catalog hasFormat "Interest rate modelling".
catalog identifier "0471975230 (cased : alk. paper)".
catalog isFormatOf "Interest rate modelling".
catalog isPartOf "Wiley series in financial engineering".
catalog issued "2000".
catalog issued "2000.".
catalog language "eng".
catalog publisher "Chichester, West Sussex, England ; New York : John Wiley & Sons,".
catalog relation "Interest rate modelling".
catalog subject "332.8/2 21".
catalog subject "HG1621 .J35 2000".
catalog subject "Interest rates Mathematical models.".
catalog tableOfContents "1 Introduction to Interest Rates 3 -- 1.1 Interest Rate Behaviour 1 -- 1.3 Interest Rate Markets 9 -- 1.4 Historical and Current Data 14 -- 1.5 Uses of Interest Rate Models 15 -- 2 Interest Rates in History 21 -- 2.1 Interest Rates in Monetary History 21 -- 2.2 Characteristics of Interest Rate Behaviour 33 -- 3 Introduction to Interest Rate Modelling 39 -- 3.1 Yield Curve Basics 39 -- 3.2 Describing Interest Rate Processes 52 -- 3.3 Introduction to Interest Rate Models 59 -- 3.4 Categories of Interest Rate Model 70 -- 3.5 The Role of the Short Rate 77 -- 4 Interest Rate Models: Theory 81 -- 4.1 Summary of Valuation 81 -- 4.2 A Theoretical Market Framework 87 -- 4.3 Fundamentals of Pricing 95 -- 4.4 Valuing by Change of Numeraire 97 -- 4.5 Derivatives in the Extended Vasicek Model 101 -- 5 Basic Modelling Tools 105 -- 5.1 Introduction to Valuation 105 --".
catalog tableOfContents "12.4 Explicit Methods 315 -- 12.5 Implicit Methods 317 -- 12.6 The Crank-Nicolson Method 319 -- 12.7 Comparison of Methods 320 -- 12.8 Implicit Boundary Conditions 321 -- 12.9 Fitting to an Initial Term Structure 323 -- 12.10 Finite Difference Methods in N Dimensions 326 -- 12.11 Operator Splitting 332 -- 12.12 A Two-Dimensional PDE 340 -- 12.13 Solving a PDDE 344 -- 13 Valuation: The Monte Carlo Method 347 -- 13.1 The Basic Monte Carlo Method 347 -- 13.2 Speed-Up Methods 354 -- 13.3 Sampling Issues 359 -- 13.4 Simulation Methods for HJM Models 375 -- 14 Lattice Methods 381 -- 14.1 Introduction to Lattice Methods 382 -- 14.2 Issues in Constructing a Lattice 394 -- 14.3 Examples of Lattice Methods 401 -- 14.4 Calibration to Market Prices 412 -- 14.5 The Explicit Finite Difference Method 415 -- 14.6 Lattices and the Monte Carlo Method 416 -- 14.7".
catalog tableOfContents "207 -- 8.4 General Market Models 212 -- 9 Other Interest Rate Models 217 -- 9.1 Consol Models 217 -- 9.2 Price Kernel Models 220 -- 9.3 Positive Interest Rate Models 226 -- 9.4 Non-Linear Models 233 -- 10 General Formulations of Interest Rate Models 237 -- 10.1 Jump Processes 237 -- 10.2 Random Field Models 242 -- 10.3 A General Model 251 -- 10.4 Jump Models 258 -- 11 Economic Models 271 -- 11.1 Economics and Interest Rates 272 -- 11.2 An Economically Motivated Financial Model of Interest Rates 278 -- 11.3 An IS-LM Based Model 284 -- 11.4 IS-LM, Hyperinflation and Extended Vasicek 290 -- 11.5 The General Equilibrium Framework 293 -- 11.6 Interpreting the Price Kernel 303 -- Part III Valuation Methods 307 -- 12 Finite Difference Methods 309 -- 12.1 The Feynman-Kac Equation 309 -- 12.2 Discretising the PDE 311 -- 12.3 Simplifying the PDE 313 --".
catalog tableOfContents "5.2 Introduction to Estimation 120 -- 5.3 Statistical Tests 126 -- 5.4 Yield Curve Stripping 129 -- 5.5 The Convexity Adjustment 136 -- 6 Densities and Distributions 139 -- 6.1 The Density Function 139 -- 6.2 Kernel Methods 141 -- 6.3 Boundary Behaviour 149 -- 6.4 Interest Rate Models at Extreme Values of Interest Rates 159 -- 6.5 Tail Distributions 168 -- Part II Interest Rate Models 175 -- 7 Affine Models 177 -- 7.1 Affine Term Structure Models 177 -- 7.2 Interpreting the State Variables 179 -- 7.3 Types of Affine Model 180 -- 7.4 Examples of One-Factor Affine Models 183 -- 7.5 Examples of n-Factor Affine Models 188 -- 7.6 A General Framework for Affine Models 193 -- 8 Market Models and the Heath, Jarrow and Morton Framework 199 -- 8.1 Introduction to the Heath, Jarrow and Morton Model 200 -- 8.2 Volatility Functions in HJM 203 -- 8.3 Market Models".
catalog tableOfContents "Hierarchy of Procedures 509 -- 18 Further Estimation Methods 515 -- 18.2 Filtering Approaches to Estimation 516 -- 18.3 The Extended Kalman Filter 526 -- 18.4 GARCH Models 530 -- 18.5 Extensions of GARCH 535 -- 18.6 Interest Rate Models and GARCH 538 -- 18.7 Artificial Neural Nets (ANNs) 541 -- 19 Interest Rates and Implied Pricing 549 -- 19.1 Problems with Interest Rate Models 550 -- 19.2 Key Relationships 551 -- 19.3 The Interest Rate Case 555 -- 19.4 The Implied Pricing Method 557 -- 19.5 Regularisation Functions 566 -- 19.6 Patching Tails onto Pricing Densities 573.".
catalog tableOfContents "Introduction to interest rates -- Interest rate models -- Valuation methods -- Calibration and estimation -- Afterword.".
catalog tableOfContents "Non-Recombining Lattices 418 -- Part IV Calibration and Estimation 423 -- 15 Modelling the Yield Curve 425 -- 15.1 Stripping the Yield Curve 426 -- 15.2 Fitting Using Parameterised Curves 432 -- 15.3 Fitting the Yield Curve Using Splines 434 -- 15.4 Nelson and Siegel Curves 444 -- 15.5 Comparison of Families of Curves 447 -- 15.6 Kernel Methods of Yield Curve Estimation 448 -- 15.7 LP and Regression Methods 449 -- 16 Principal Components Analysis 455 -- 16.1 Volatility Structures 456 -- 16.2 Identifying Empirical Volatility Factors 459 -- 16.3 Calibrating Whole Yield Curve Models 463 -- 16.4 Processes on Manifolds 465 -- 16.5 Analysis of Dynamical Systems 481 -- 17 Estimation Methods: GMM and ML 487 -- 17.1 GMM Estimation 488 -- 17.2 Implementation Issues 491 -- 17.3 The Efficient Method of Moments (EMM) 500 -- 17.4 Maximum Likelihood Methods 505 -- 17.5".
catalog title "Interest rate modelling / Jessica James and Nick Webber.".
catalog type "text".