Modeling the Term Structure of Interest Rates
A Review of the Literature
1st Edition
Published on 16. December 2010
Book
Paperback/Softback
172 pages
978-1-60198-372-5 (ISBN)
Description
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.
More details
Series
Language
English
Place of publication
Hanover
United States
Target group
Professional and scholarly
Dimensions
Height: 234 mm
Width: 156 mm
Thickness: 9 mm
Weight
251 gr
ISBN-13
978-1-60198-372-5 (9781601983725)
DOI
10.1561/0500000032
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Schweitzer Classification
Content
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