Interest Rate Modelling (finance And Capital Markets Series)

growth In The Derivatives Market Has Brought With It An Ever-increasing Volume And Range Of Interest Rate Dependent Products. To Allow Profitable, Efficient Trading In These Products, Accurate And Mathematically Sound Valuation Techniques Are Required To Make Pricing, Hedging And Risk Management Of The Resulting Positions Available. Svoboda Looks At The Predecessors Of Market Models And Focuses On Describing And Explaining The General Shape Of The Interest Rate Term Structure. Front Matter....Pages i-xi Front Matter....Pages 1-1 The Vasicek Model....Pages 3-17 The Cox, Ingersoll and Ross Model....Pages 19-47 The Brennan and Schwartz Model....Pages 49-57 Longstaff and Schwartz: A Two-Factor Equilibrium Model....Pages 59-75 Langetieg’s Multi-Factor Equilibrium Framework....Pages 77-93 The Ball and Torous Model....Pages 95-102 The Hull and White Model....Pages 103-120 The Black, Derman and Toy One-Factor Interest Rate Model....Pages 121-133 The Black and Karasinski Model....Pages 135-139 The Ho and Lee Model....Pages 141-160 The Heath, Jarrow and Morton Model....Pages 161-211 Brace, Gatarek and Musiela Model....Pages 213-226 Front Matter....Pages 227-227 Calibrating the Hull—White extended Vasicek approach....Pages 229-245 Calibrating the Black, Derman and Toy discrete time model....Pages 247-255 Calibration of the Heath, Jarrow and Morton framework....Pages 257-268 Back Matter....Pages 269-275

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.

"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." "This 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."--Jacket