The New Interest Rate Models: Recent Developments in the Theory and Application of Yield Curve Dynamics: Innovations from Heath-Jarrow-Morton to the Present - Rilegato

Rilegato

ISBN 10: 1899332979 ISBN 13: 9781899332977

Casa editrice: Risk Books, 2000

Riassunto

This work is a comprehensive collection that looks at the development of interest-rate models from 1992 to 2000. It covers interest-rate analysis in the light of increased computer power, investigates simulation processes such as random walks and Monte Carlo simulation, and details the development of three new ineterest-rate model types including the Markov decision process, extensions and generalizations to the Heath-Jarrow-Morton model and market models. The book also makes accessible advanced models that enable modellers to "complete the market" more efficiently when calculating interest rate securities and options' portfolios.

Su questa edizione

• Editore: Risk Books
• Data di pubblicazione: 2000
• ISBN 10: 1899332979
• ISBN 13: 9781899332977
• Rilegatura: Copertina rigida
• Numero di pagine: 350
• Redattore: Hughston Lane