{"product_id":"interest-rate-modelling-isbn-9780471975236","title":"Interest Rate Modelling","description":"As interest rate markets continue to innovate and expand it is becoming increasingly important to remain up-to-date with the latest practical and theoretical developments. This book covers the latest developments in full, with descriptions and implementation techniques for all the major classes of interest rate models-both those actively used in practice as well as theoretical models still 'waiting in the wings'.\u003cbr\u003e \u003cbr\u003e Interest rate models, implementation methods and estimation issues are discussed at length by the authors as are important new developments such as kernel estimation techniques, economic based models, implied pricing methods and models on manifolds.\u003cbr\u003e \u003cbr\u003e Providing balanced coverage of both the practical use of models and the theory that underlies them, Interest Rate Modelling adopts an implementation orientation throughout, making it an ideal resource for both practitioners and researchers.Ein wichtiges Nachschlagewerk fur alle Experten, die mit der Entwicklung und Implementierung von Zinsmodellen zu tun haben sowie fur Dozenten und Wissenschaftler. Dies ist das detaillierteste Buch zum Thema Zinsmodelle und Implementierungstechniken, das gegenwartig auf dem Markt ist. Die jungsten Entwicklungen auf dem Gebiet der Zinsmarkte werden umfassend und in allen Einzelheiten diskutiert. Daneben gibt es einfuhrende Kapitel zum theoretischen Hintergrund, zur Bewertung und Absicherung von Zinsprodukten und Zinsmarkten sowie einen kurzen Abri? zur Geschichte der Zinsentwicklung im Laufe der Jahrhunderte. (07\/99) Part I: Introduction to interest rate modelling\u003cbr\u003e \u003cbr\u003e 1. Introduction to interest rates\u003cbr\u003e \u003cbr\u003e Interest rate behaviour;\u003cbr\u003e Basic concepts;\u003cbr\u003e Interest rate markets;\u003cbr\u003e Historical and current data;\u003cbr\u003e Uses of interest rate models;\u003cbr\u003e Conclusion\u003cbr\u003e \u003cbr\u003e 2. Interest rates in history\u003cbr\u003e \u003cbr\u003e Interest rates in monetary history;\u003cbr\u003e Characteristics of interest rate behaviour\u003cbr\u003e \u003cbr\u003e 3. Introduction to interest rate modelling\u003cbr\u003e \u003cbr\u003e Yield curve basics;\u003cbr\u003e Describing interest rate processes;\u003cbr\u003e Introducton to interest rate models;\u003cbr\u003e Categories of interest rate model;\u003cbr\u003e The role of the short rate\u003cbr\u003e \u003cbr\u003e 4. Interest rate models: theory\u003cbr\u003e \u003cbr\u003e Summary of valuation\u003cbr\u003e \u003cbr\u003e A theoretical market framework;\u003cbr\u003e Fundamentals of pricing; valuing by change of numeraire;\u003cbr\u003e Derivatives in the extended Vasicek model\u003cbr\u003e \u003cbr\u003e 5. Basic modelling tools\u003cbr\u003e \u003cbr\u003e Introduction to valuation;\u003cbr\u003e Introduction to estimation;\u003cbr\u003e Statistical tests;\u003cbr\u003e Yield curve stripping;\u003cbr\u003e The convexity adjustment\u003cbr\u003e \u003cbr\u003e 6. Densities and distributions\u003cbr\u003e \u003cbr\u003e The density function;\u003cbr\u003e Kernel methods;\u003cbr\u003e Boundary behaviour;\u003cbr\u003e Interest rate models at extreme values of interest rates;\u003cbr\u003e Tail distributions\u003cbr\u003e \u003cbr\u003e Part II Interest rate models\u003cbr\u003e \u003cbr\u003e 7. Affine models\u003cbr\u003e \u003cbr\u003e Affine term structure models;\u003cbr\u003e Interpreting the state variables;\u003cbr\u003e Types of affine model;\u003cbr\u003e Examples of one-factor affine models;\u003cbr\u003e Examples of n-factor affine models;\u003cbr\u003e A general framework for affine models\u003cbr\u003e \u003cbr\u003e 8. Market models and the Heath, Jarrow and Morton framework\u003cbr\u003e \u003cbr\u003e Introduction to the Heath, Jarrow and Morton model;\u003cbr\u003e Volatility functions in HJM;\u003cbr\u003e Market models;\u003cbr\u003e General market models\u003cbr\u003e \u003cbr\u003e 9. Other interest rate models\u003cbr\u003e \u003cbr\u003e Consol models;\u003cbr\u003e Price kernet models;\u003cbr\u003e Positive interest rate models;\u003cbr\u003e Non-linear models\u003cbr\u003e \u003cbr\u003e 10. General formulations of interest rate models\u003cbr\u003e \u003cbr\u003e Jump processes;\u003cbr\u003e Random field models;\u003cbr\u003e A general model;\u003cbr\u003e Jump models\u003cbr\u003e \u003cbr\u003e 11. Economic models\u003cbr\u003e \u003cbr\u003e Economics and interest rates\u003cbr\u003e \u003cbr\u003e An economically motivated financial model of interest rates;\u003cbr\u003e An IS-LM based model;\u003cbr\u003e IS-LM, hyperinflation and extended Vasicek;\u003cbr\u003e The general equilibrium framework;\u003cbr\u003e Interpreting the price kernel\u003cbr\u003e \u003cbr\u003e Part III Valuation methods\u003cbr\u003e \u003cbr\u003e 12. Finite difference methods\u003cbr\u003e \u003cbr\u003e The Feynman-Kac Equation;\u003cbr\u003e Discretising the PDE;\u003cbr\u003e Simplifying the PDE;\u003cbr\u003e Explicit methods;\u003cbr\u003e Implicit methods;\u003cbr\u003e The Crank-Nicolson method;\u003cbr\u003e Comparison of methods;\u003cbr\u003e Implicit boundary conditions;\u003cbr\u003e Fitting to an initial term structure;\u003cbr\u003e Finite difference methods in N dimensions;\u003cbr\u003e Operator splitting;\u003cbr\u003e A two-dimensional PDE;\u003cbr\u003e Solving a PDDE\u003cbr\u003e \u003cbr\u003e 13. Valuation: the Monte Carlo method\u003cbr\u003e \u003cbr\u003e The basic Monte Carlo method;\u003cbr\u003e Speed-up methods;\u003cbr\u003e Sampling issues;\u003cbr\u003e Simulation methods for HJM models\u003cbr\u003e \u003cbr\u003e 14. Lattice methods\u003cbr\u003e \u003cbr\u003e Introduction to lattice methods;\u003cbr\u003e Issues in constructing a lattice;\u003cbr\u003e Examples of lattice methods;\u003cbr\u003e Calibration to market prices;\u003cbr\u003e The explicit finite difference method;\u003cbr\u003e Lattices and the Monte Carlo method;\u003cbr\u003e Non-recombining lattices;\u003cbr\u003e Conclusions\u003cbr\u003e \u003cbr\u003e Part IV Calibration and estimation\u003cbr\u003e \u003cbr\u003e 15. Modelling the yield curve\u003cbr\u003e \u003cbr\u003e Stripping the yield curve;\u003cbr\u003e Fitting using parameterised curves;\u003cbr\u003e Fitting the yield curve using splines;\u003cbr\u003e Nelson and Siegel curves;\u003cbr\u003e Comparison of families of curves;\u003cbr\u003e Kernel methods of yield curve estimations;\u003cbr\u003e LP and regression methods\u003cbr\u003e \u003cbr\u003e 16. Principal components analysis\u003cbr\u003e \u003cbr\u003e Volatility structures;\u003cbr\u003e Identifying empirical volatility factors;\u003cbr\u003e Calibrating whole yield curve methods;\u003cbr\u003e Processes on manifolds;\u003cbr\u003e Analysis of dynamical systems;\u003cbr\u003e Conclusions\u003cbr\u003e \u003cbr\u003e 17. Estimation methods: GMM and ML\u003cbr\u003e \u003cbr\u003e GMM estimation;\u003cbr\u003e Implementation issues;\u003cbr\u003e The efficient method of moments (EMM);\u003cbr\u003e Maximum likelihood methods;\u003cbr\u003e Hierarchy of procedures\u003cbr\u003e \u003cbr\u003e 18. Further estimation methods\u003cbr\u003e \u003cbr\u003e Introduction;\u003cbr\u003e Filtering approaches to estimation;\u003cbr\u003e The extended Kalman Filter;\u003cbr\u003e GARCH models;\u003cbr\u003e Extensions of GARCH;\u003cbr\u003e Interest rate models and GARCH;\u003cbr\u003e Artificial neural nets (ANNs)\u003cbr\u003e \u003cbr\u003e 19. Interest rates and implied pricing\u003cbr\u003e \u003cbr\u003e Problems with interest rate models;\u003cbr\u003e Key relationships;\u003cbr\u003e The interest rate case;\u003cbr\u003e The implied pricing method;\u003cbr\u003e Regularisation functions;\u003cbr\u003e Patching tails onto pricing densities\u003cbr\u003e \u003cbr\u003e Afterword\u003cbr\u003e \u003cbr\u003e Notation\u003cbr\u003e \u003cbr\u003e Glossary of mathematical, market and model terms\u003cbr\u003e \u003cbr\u003e References\u003cbr\u003e \u003cbr\u003e Author Index\u003cbr\u003e \u003cbr\u003e Subject Index \"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# 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.\u003cbr\u003e \u003cbr\u003e NICK WEBBER is a lecturer in Finance at Warwick Business School. Prior to his academic career, Nick has had extensive experience in the industrial and commercial world in operational research and computing. After obtaining a PhD in Theoretical Physics from Imperial College he began research into financial options. His main area of research centres on interest rate modelling and computational finance. He ahs taught practitioner and academic course for many years, chiefly on options and interest rates. Interest Rate Modelling provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products.\u003cbr\u003e \u003cbr\u003e A series of introductory chapters reviews the theoretical background, pointing out the problems in using nave valuation and implementation techniques. There follow as full analysis of interest rate models including major categories, such as affine, HJM and market models, and in addition, lesser will know types that include Consol, random field and jump-augmented models. Implementation methods are discussed in depth including the latest developments in the use of finite difference, lattice and Monte Carlo methods and their particular application ot the valuation of interest rate derivatives.\u003cbr\u003e \u003cbr\u003e Containing previously unpublished material, Interest Rate Modelling is a key reference work both for practitioners developing and implementation models for real and for academics teaching and researching in the field. Back Cover ( this section should include endorsements also)\u003cbr\u003e \u003cbr\u003e As interest rate markets continue to innovate and expand it is becoming increasingly important to remain up-to-date with the latest practical and theoretical developments. This book covers the latest developments in full, with descriptions and implementation techniques for all the major classes of interest rate models - both those actively used in practice as well as theoretical models still 'waiting in the wings'.\u003cbr\u003e \u003cbr\u003e Interest rate models, implementation methods and estimation issues are discussed at length by the authors as are important new developments such as kernel estimation techniques, economic based models, implied pricing methods and models on manifolds.\u003cbr\u003e \u003cbr\u003e Providing balanced coverage of both the practical use of models and the theory that underlies them, Interest Rate Modelling adopts an implementation orientation throughout making it an ideal resource for both practitioners and researchers.\u003cbr\u003e \u003cbr\u003e Back Flap\u003cbr\u003e \u003cbr\u003e Jessica James\u003cbr\u003e \u003cbr\u003e 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 D Phil 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 the 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 has published articles on various aspects of financial modelling.\u003cbr\u003e \u003cbr\u003e Nick Webber\u003cbr\u003e \u003cbr\u003e Nick Webber is a lecturer in Finance at Warwick Business School. Prior\u003cbr\u003e \u003cbr\u003e to his academic career, Nick had extensive experience in the industrial\u003cbr\u003e \u003cbr\u003e and commercial world in operational research and computing. After\u003cbr\u003e \u003cbr\u003e obtaining a PhD in Theoretical Physics from Imperial College he began\u003cbr\u003e \u003cbr\u003e research into financial options. His main area of research centres on\u003cbr\u003e \u003cbr\u003e interest rate modelling and computational finance. He has taught\u003cbr\u003e \u003cbr\u003e practitioner and academic courses for many years, chiefly on options and\u003cbr\u003e \u003cbr\u003e interest rates.\u003cbr\u003e \u003cbr\u003e Front Flap\u003cbr\u003e \u003cbr\u003e Interest Rate Modelling provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products.\u003cbr\u003e \u003cbr\u003e A series of introductory chapters reviews the theoretical background, pointing out the problems in using naïve valuation and implementation techniques. There follows a full analysis of interest rate models including major categories, such as Affine, HJM and Market models, and in addition, lesser well known types that include Consol, Random field and Jump-augmented Models. Implementation methods are discussed in depth including the latest developments in the use of finite difference, Lattice and Monte Carlo methods and their particular application to the valuation of interest rate derivatives.\u003cbr\u003e \u003cbr\u003e Containing previously unpublished material, Interest Rate Modelling is a key reference work both for practitioners developing and implementing models for real and for academics teaching and researching in the field.","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989443199205,"sku":"NP9780471975236","price":190.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780471975236.jpg?v=1761784118","url":"https:\/\/k12savings.com\/products\/interest-rate-modelling-isbn-9780471975236","provider":"K12savings","version":"1.0","type":"link"}