Building and Using Dynamic Interest Rate Models: A Dynamical Systems Approach Under Uncertainty With Perturbations - Rilegato

Kortanek, K. O.; Medvedev, Vladimir G.

Rilegato

ISBN 10: 0471495956 ISBN 13: 9780471495956

Casa editrice: John Wiley & Sons Inc, 2001

Riassunto

This book offers a new approach to interest rate and modeling term structure by using
models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical
simulations. It includes software that will enable readers to simulate the various models covered in the book.

Su questo libro

Informazioni sull?autore

KENNETH (KEN) O. KORTANEK is a John F. Murray Research Professor of Management Sciences at the University of Iowa, Henry B. Tippie College of Business. His academic career includes obtaining tenure at Cornell University's Department of Industrial Engineering and Operations Research in 1968, and a 10 year professorship in Carnegie Mellon University's Mathematics Department. Since 1962 he has published over 130 articles, a book, and several edited volumes on optimization, many of them financially supported by the U.S. National Science Foundation. He regularly acts as a consultant for large corporations.

VLADIMIR G. MEDVEDEV is a mathematician at OmniCADD, Inc. in Milwaukee, Wisconsin. During the last 10 years he was an Associate Professor in the Optimal Control Methods Department of the Belarussian State University. He holds a Ph.D. in the Physical-Mathematical Sciences from the Belarussian Academy of Sciences. In 1995 he received the Best Paper Award from the Belarussian Soros Foundation for a paper underlying his thesis. He was a Postdoctoral Associate in the Department of Management Sciences at the University of Iowa for the year 1997-1998.

Dalla quarta di copertina

"The authors present a novel new approach to pricing interest rate securities. (The book) is well written and is easy to follow and understand. It's a must read for those interested and involved in fixed income security valuation." -- William T. Ziemba, Alumni Professor of Financial Modeling and Stochastic Optimization, University of British Columbia

"Kortanek and Medvedev's book presents an interesting approach to the individualisation of the models for the Yield Curve and for the Spot Rate by means of dynamic systems. This approach supplies an innovative calculation methodology for obtaining numeric solutions in certain important financial applications. I believe that these models can be considered a worthwhile instrument, "complementary" to the models based on stochastic equations." -- Professor G. Olivieri, Luiss "Guido Carli" University, Rome

Building and Using Dynamic Interest Rate Models provides a new approach to modeling the term structure of interest rates. Based on the rich history of work in control theory and the optimization of systems under uncertainty, the authors set out to develop a new class of models of this type for the term structure of interest rates. Designed to complement the stochastic processes approach, the authors provide both the theory and the practical modeling and computer implementation needed to successfully build and use term structure models. The book presents results on serious testing using software for predicting the spot rate, the forward rate and the entire interest rate yield surface based on observations taken during an arbitrarily specified time period.

Building and Using Dynamic Interest Rate Models is ideal reading for those involved in the fixed income securities markets, with an expanded view towards forecasting future commodity prices and volatilities.

Dal risvolto di copertina interno

The fundamental theme of this book is the development and application of a new class of models for the term structure of interest rates. All significant properties of these dynamic systems models under nonstochastic uncertainty with perturbations are analogs of properties appearing in stochastic differential process models, principally, (a) the type of uncertainty, (b) a model for the spot rate, (c) a norm for uncertainty, (d) nonarbitrage conditions, (e) moments of uncertainty, and (f) modeling additional technical phenomena such as non-negative spot rates or forward rates.

Dettagli dell'edizione

• Editore: John Wiley & Sons Inc
• Data di pubblicazione: 2001
• Lingua: Inglese
• ISBN 10: 0471495956
• ISBN 13: 9780471495956
• Rilegatura: Copertina rigida
• Numero edizione: 1
• Numero di pagine: 215
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile