The Valuation of Interest Rate Derivative Securities (Routledge New Advances in Economics, 1)

This book provides a detailed overview and classification of the different approaches to valuing interest rate dependent securities. BOOK COVER......Page 1 HALF-TITLE......Page 2 SERIES......Page 3 TITLE......Page 4 COPYRIGHT......Page 5 CONTENTS......Page 6 LIST OF FIGURES......Page 7 LIST OF TABLES......Page 9 LIST OF SYMBOLS......Page 10 PREFACE......Page 12 1 INTRODUCTION......Page 14 Part I THE THEORETICAL VALUATION OF INTEREST RATE DERIVATIVE SECURITIES......Page 19 2 ARBITRAGE OPPORTUNITIES AND THE VALUATION OF CONTINGENT CLAIMS......Page 20 3 AN OVERVIEW OF THE VALUATION OF INTEREST RATE DERIVATIVE SECURITIES......Page 45 4 MODELLING BOND PRICES......Page 51 5 MODELLING THE TERM STRUCTURE OF INTEREST RATES......Page 73 6 NUMERICAL METHODS TO VALUE INTEREST RATE DERIVATIVE SECURITIES......Page 122 Part II EMPIRICAL RESULTS OF THE ESTIMATION OF INTEREST RATE DYNAMICS......Page 153 7 ESTIMATING THE TERM STRUCTURE OF INTEREST RATES: A TIME SERIES ANALYSIS......Page 154 8 ESTIMATING THE TERM STRUCTURE OF INTEREST RATES: A CROSS-SECTIONAL ANALYSIS......Page 164 9 ESTIMATING THE TERM STRUCTURE OF INTEREST RATE VOLATILITIES: PRINCIPAL COMPONENTS......Page 178 10 CONCLUSIONS AND FURTHER RESEARCH......Page 185 REFERENCES......Page 190 INDEX......Page 193 The increased volatility of interest rates during recent years and the corresponding introduction of a variety of interest rate derivative securities like bond options, futures and embedded options in mortgages, underlines the need for a comprehensive financial theory to determine values of fixed income instruments and derivative securities consistently. This book provides: • a detailed overview and classification of the different approaches to value interest rate dependent securities • a comparison of the numerical approaches to value complex securities • an empirical examination for the Dutch Fixed Income Market of some well-known interest rate models which demonstrates recent improvements to describe interest rate movements in relation to contingent claim valuation. This text provides an overview and classification of the different approaches to value interest rate dependent securities and a comparison of the numerical approaches to value complex securities. First published in 1996. Routledge is an imprint of Taylor & Francis, an informa company