Interest Rate Modelling: Financial Engineering

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9780471975236: Interest Rate Modelling: Financial Engineering

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'.

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.

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

From the Back Cover:

Back Cover ( this section should include endorsements also)

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'.

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.

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.

Back Flap

Jessica James

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.

Nick Webber

Nick Webber is a lecturer in Finance at Warwick Business School. Prior

to his academic career, Nick 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 has taught

practitioner and academic courses for many years, chiefly on options and

interest rates.

Front Flap

Interest Rate Modelling provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products.

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.

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.

From the Inside Flap:

Interest Rate Modelling provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products.

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.

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.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

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Jessica James; Nick Webber
Editore: Wiley (2000)
ISBN 10: 0471975230 ISBN 13: 9780471975236
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Descrizione libro Wiley, 2000. Hardcover. Condizione libro: New. Codice libro della libreria SONG0471975230

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James, Jessica, Webber, Nick
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Descrizione libro Wiley. Hardcover. Condizione libro: New. 0471975230 New Condition. Codice libro della libreria NEW6.0252207

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Descrizione libro Wiley, 2000. Hardcover. Condizione libro: New. 1. Codice libro della libreria DADAX0471975230

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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2000. Hardback. Condizione libro: New. 1. Auflage. Language: English . Brand New Book. This book provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products. A series of introductory chapters reviews the theoretical background, pointing out the problems in using na?ve 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. 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. 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#. Codice libro della libreria AAH9780471975236

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Jessica James, Nick Webber
Editore: John Wiley and Sons Ltd, United Kingdom (2000)
ISBN 10: 0471975230 ISBN 13: 9780471975236
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2000. Hardback. Condizione libro: New. 1. Auflage. Language: English . Brand New Book. This book provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products. A series of introductory chapters reviews the theoretical background, pointing out the problems in using na?ve 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. 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. 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#. Codice libro della libreria AAH9780471975236

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Descrizione libro John Wiley and#38; Sons, 2000. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria FW-9780471975236

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Descrizione libro John Wiley and Sons Ltd. Hardback. Condizione libro: new. BRAND NEW, Interest Rate Modelling, Jessica James, Nick Webber, This book provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products. A series of introductory chapters reviews the theoretical background, pointing out the problems in using na?ve 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. 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. 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#. Codice libro della libreria B9780471975236

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Descrizione libro John Wiley and#38; Sons, 2000. HRD. Condizione libro: New. New Book.Shipped from US within 10 to 14 business days.THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Codice libro della libreria IP-9780471975236

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