Interest Rate Modelling

1. Auflage 2000
ISBN: 978-0-471-97523-6
Verlag: Wiley

Buch, Englisch, 672 Seiten, Format (B × H): 157 mm x 235 mm, Gewicht: 1234 g

Ein wichtiges Nachschlagewerk fur alle Experten, die mit der Entwicklung und Implementierung von Zinsmodellen zu tun haben sowie fur Dozenten und Wissenschaftler. Dies ist das detaillierteste Buch zum Thema Zinsmodelle und Implementierungstechniken, das gegenwartig auf dem Markt ist. Die jungsten Entwicklungen auf dem Gebiet der Zinsmarkte werden umfassend und in allen Einzelheiten diskutiert. Daneben gibt es einfuhrende Kapitel zum theoretischen Hintergrund, zur Bewertung und Absicherung von Zinsprodukten und Zinsmarkten sowie einen kurzen Abri? zur Geschichte der Zinsentwicklung im Laufe der Jahrhunderte. (07/99)

Autoren/Hrsg.

James, Jessica

Webber, Nick

Fachgebiete

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

Inhaltsverzeichnis

Part I: Introduction to interest rate modelling

1. Introduction to interest rates

Interest rate behaviour;
Basic concepts;
Interest rate markets;
Historical and current data;
Uses of interest rate models;
Conclusion

2. Interest rates in history

Interest rates in monetary history;
Characteristics of interest rate behaviour

3. Introduction to interest rate modelling

Yield curve basics;
Describing interest rate processes;
Introducton to interest rate models;
Categories of interest rate model;
The role of the short rate

4. Interest rate models: theory

Summary of valuation

A theoretical market framework;
Fundamentals of pricing; valuing by change of numeraire;
Derivatives in the extended Vasicek model

5. Basic modelling tools

Introduction to valuation;
Introduction to estimation;
Statistical tests;
Yield curve stripping;
The convexity adjustment

6. Densities and distributions

The density function;
Kernel methods;
Boundary behaviour;
Interest rate models at extreme values of interest rates;
Tail distributions

Part II Interest rate models

7. Affine models

Affine term structure models;
Interpreting the state variables;
Types of affine model;
Examples of one-factor affine models;
Examples of n-factor affine models;
A general framework for affine models

8. Market models and the Heath, Jarrow and Morton framework

Introduction to the Heath, Jarrow and Morton model;
Volatility functions in HJM;
Market models;
General market models

9. Other interest rate models

Consol models;
Price kernet models;
Positive interest rate models;
Non-linear models

10. General formulations of interest rate models

Jump processes;
Random field models;
A general model;
Jump models

11. Economic models

Economics and interest rates

An economically motivated financial model of interest rates;
An IS-LM based model;
IS-LM, hyperinflation and extended Vasicek;
The general equilibrium framework;
Interpreting the price kernel

Part III Valuation methods

12. Finite difference methods

The Feynman-Kac Equation;
Discretising the PDE;
Simplifying the PDE;
Explicit methods;
Implicit methods;
The Crank-Nicolson method;
Comparison of methods;
Implicit boundary conditions;
Fitting to an initial term structure;
Finite difference methods in N dimensions;
Operator splitting;
A two-dimensional PDE;
Solving a PDDE

13. Valuation: the Monte Carlo method

The basic Monte Carlo method;
Speed-up methods;
Sampling issues;
Simulation methods for HJM models

14. Lattice methods

Introduction to lattice methods;
Issues in constructing a lattice;
Examples of lattice methods;
Calibration to market prices;
The explicit finite difference method;
Lattices and the Monte Carlo method;
Non-recombining lattices;
Conclusions

Part IV Calibration and estimation

15. Modelling the yield curve

Stripping the yield curve;
Fitting using parameterised curves;
Fitting the yield curve using splines;
Nelson and Siegel curves;
Comparison of families of curves;
Kernel methods of yield curve estimations;
LP and regression methods

16. Principal components analysis

Volatility structures;
Identifying empirical volatility factors;
Calibrating whole yield curve methods;
Processes on manifolds;
Analysis of dynamical systems;
Conclusions

17. Estimation methods: GMM and ML

GMM estimation;
Implementation issues;
The efficient method of moments (EMM);
Maximum likelihood methods;
Hierarchy of procedures

18. Further estimation methods

Introduction;
Filtering approaches to estimation;
The extended Kalman Filter;
GARCH models;
Extensions of GARCH;
Interest rate models and GARCH;
Artificial neural nets (ANNs)

19. Interest rates and implied pricing

Problems with interest rate models;
Key relationships;
The interest rate case;
The implied pricing method;
Regularisation functions;
Patching tails onto pricing densities

Afterword

Notation

Glossary of mathematical, market and model terms

References

Author Index

Subject Index

Über Autor(innen)

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 DPhil 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 he 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 ahs published articles on various aspects of financial modelling.

NICK WEBBER is a lecturer in Finance at Warwick Business School. Prior to his academic career, Nick has 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 ahs taught practitioner and academic course for many years, chiefly on options and interest rates.