The Valuation of Interest Rate Derivative Securities

1. Auflage 1996
ISBN: 978-0-415-13727-0
Verlag: Routledge

Buch, Englisch, 200 Seiten, Format (B × H): 156 mm x 234 mm, Gewicht: 476 g

Reihe: Routledge New Advances in Economics

First published in 1996. Routledge is an imprint of Taylor & Francis, an informa company.

Autoren/Hrsg.

Munnik, Jeroen F. J. De

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen

Inhaltsverzeichnis

1. Introduction Part I: The Theoretical Valuation of Interest Rate Derivative Securities 2. Arbitrage Opportunities and the Valuation of Contingent Claims 3. An Overview of the Valuation of Interest Rate Derivative Securities 4. Modelling Bond Prices 5. Modelling the Term Structure of Interest Rates 6. Numerical Methods to Value Interest Rate Derivative Securities Part II: Empirical Results of the Estimation of Interest Rate Dynamics 7. Estimating the Term Structure of Interest Rates: A Time Series Analysis 8. Estimating the Term Structure of Interest Rates: A Cross-Sectional Analysis 9. Estimating the Term Structure of Interest Rate Volatilities: Principal Components 10. Conclusions and Further Research References