Modeling the Term Structure of Interest Rates

A Review of the Literature
1. Auflage 2010
ISBN: 978-1-60198-372-5
Verlag: Now Publishers

Buch, Englisch, Band 18, 172 Seiten, Format (B × H): 156 mm x 234 mm

Reihe: Foundations and Trends® in Finance

Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.

Autoren/Hrsg.

Gibson, Rajna

Lhabitant, Francois-Serge

Talay, Denis

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing

Inhaltsverzeichnis

1. Introduction. 2. Term Structure Models Taxonomy. 3. Our Mathematical Framework. 4. Economic Theories of the Term Structure of Interest Rates. 5. Short Term Rate Models. 6. Univariate and Multivariate HJM models. 7. Libor/Market Models. 8. Empirical Evidence on Term Structure Models. 9. Model misspecification in term structure modeling. 10. Simulation of Interest Rate Models. 11. Conclusion. 12. Appendices. 13. References