Zagst, R: Interest Rate Management

2002
ISBN: 978-3-540-67594-5
Verlag: Springer-Verlag GmbH

Buch, Englisch, 341 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 1510 g

Reihe: Springer Finance

Who gains all his ends did set the level too low. Although the history of trading on financial markets started a long and possibly not exactly definable time ago, most financial analysts agree that the core of mathematical finance dates back to the year 1973. Not only did the world's first option exchange open its doors in Chicago in that year but Black and Scholes published their pioneering paper [BS73] on the pricing and hedging of contingent claims. Since then their explicit pricing formula has become the market standard for pricing European stock op­ tions and related financial derivatives. In contrast to the equity market, no comparable model is accepted as standard for the interest-rate market as a whole. One of the reasons is that interest-rate derivatives usually depend on the change of a complete yield curve rather than only one single interest rate. This complicates the pricing of these products as well as the process of managing their market risk in an essential way. Consequently, a large number of interest-rate models have appeared in the literature using one or more factors to explain the potential changes of the yield curve. Beside the Black ([Bla76]) and the Heath-Jarrow-Morton model ([HJM92]) which are widely used in practice, the LIBOR and swap market models introduced by Brace, G~tarek, and Musiela [BGM97], Miltersen, Sandmann, and Son­ dermann [MSS97J, and Jamshidian [Jam98] are among the most promising ones.

Zielgruppe

Research

Autoren/Hrsg.

Zagst, Rudi

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Mathematik | Informatik Mathematik Mathematische Analysis
• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Mathematik | Informatik Mathematik Stochastik Elementare Stochastik

Inhaltsverzeichnis

1 Introduction.- I Mathematical Finance Background.- 2 Stochastic Processes and Martingales.- 3 Financial Markets.- II Modelling and Pricing in Interest-Rate Markets.- 4 Interest-Rate Markets.- 5 Interest-Rate Derivatives.- III Measuring and Managing Interest-Rate Risk.- 6 Risk Measures.- 7 Risk Management.- 8 Appendix.- References.