{"product_id":"interest-rate-modelling-hardback-9780471975236","title":"Interest Rate Modelling (Hardback) 9780471975236","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eInterest Rate Modelling\u003c\/font\u003e\u003cbr\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003c\/p\u003e\n\u003cp\u003e\u003cfont size=\"4\"\u003eJessica James (Author), Nick Webber (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9780471975236, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 5 April 2000\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e672 pages\u003cbr\u003e23.2 x 16 x 4.2 cm, 1.134 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cem\u003e\u003cfont size=\"3\"\u003e\"Interest Rate Modelling is an encyclopedic treatment of interest rates and their related financial derivatives. It combines advanced theory with extensive and down-to-earth data analysis in a way which is truly unique. For practitioners, students and scholars in the field, this impressive wok will be the standard reference for years to come.\", Professor Tomas Bjork, , Stockholm School of Economics#\"...an excellent book. I am particularly pleased by its breadth and range of topics...the reader is provided with an informative and readable exposition.\", Dr Farshid Jamshidian, , NetAnalytic#\"I particularly like the strong emphasis on the practicalities and calibration of interest rate models. This book will be invaluable as a comprehensive reference to students, researchers, and practitioners.\", Professor Francis Longstaff, , The Anderson School at UCLA#\"This is a carefully written, scholarly but fascinating presentation of the field of Interest Rate Modelling. It combines the best of two worlds: the rigour expected from finance in acamedia with the relevance expected from finance in practice. James and Webber are truly masters of their market since this book is surely a must-buy for both researchers and practitioners. If only all finance books were written with this care and attention to detail.\", Dr Neil Johnson, , Clarendon Laboratory, Oxford#\"Today, interest rates are key economic instruments. This is a mammoth treatise and must surely rank as one of the most comprehensive available on the topic. Anyone interested in modelling or simulating the behaviour of interest rates, be they practitioner, economist, mathematician or new entrant to the subject, will find within a wealth of pertinent material.\", Professor Peter Richmond, , Trinity College Dublin#\u003c\/font\u003e\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003eEin 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)\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003ePart I: Introduction to interest rate modelling\u003cbr\u003e \u003cbr\u003e 1. Introduction to interest rates\u003cbr\u003e \u003cbr\u003e Interest rate behaviour;\u003cbr\u003e Basic concepts;\u003cbr\u003e Interest rate markets;\u003cbr\u003e Historical and current data;\u003cbr\u003e Uses of interest rate models;\u003cbr\u003e Conclusion\u003cbr\u003e \u003cbr\u003e 2. Interest rates in history\u003cbr\u003e \u003cbr\u003e Interest rates in monetary history;\u003cbr\u003e Characteristics of interest rate behaviour\u003cbr\u003e \u003cbr\u003e 3. Introduction to interest rate modelling\u003cbr\u003e \u003cbr\u003e Yield curve basics;\u003cbr\u003e Describing interest rate processes;\u003cbr\u003e Introducton to interest rate models;\u003cbr\u003e Categories of interest rate model;\u003cbr\u003e The role of the short rate\u003cbr\u003e \u003cbr\u003e 4. Interest rate models: theory\u003cbr\u003e \u003cbr\u003e Summary of valuation\u003cbr\u003e \u003cbr\u003e A theoretical market framework;\u003cbr\u003e Fundamentals of pricing; valuing by change of numeraire;\u003cbr\u003e Derivatives in the extended Vasicek model\u003cbr\u003e \u003cbr\u003e 5. Basic modelling tools\u003cbr\u003e \u003cbr\u003e Introduction to valuation;\u003cbr\u003e Introduction to estimation;\u003cbr\u003e Statistical tests;\u003cbr\u003e Yield curve stripping;\u003cbr\u003e The convexity adjustment\u003cbr\u003e \u003cbr\u003e 6. Densities and distributions\u003cbr\u003e \u003cbr\u003e The density function;\u003cbr\u003e Kernel methods;\u003cbr\u003e Boundary behaviour;\u003cbr\u003e Interest rate models at extreme values of interest rates;\u003cbr\u003e Tail distributions\u003cbr\u003e \u003cbr\u003e Part II Interest rate models\u003cbr\u003e \u003cbr\u003e 7. Affine models\u003cbr\u003e \u003cbr\u003e Affine term structure models;\u003cbr\u003e Interpreting the state variables;\u003cbr\u003e Types of affine model;\u003cbr\u003e Examples of one-factor affine models;\u003cbr\u003e Examples of n-factor affine models;\u003cbr\u003e A general framework for affine models\u003cbr\u003e \u003cbr\u003e 8. Market models and the Heath, Jarrow and Morton framework\u003cbr\u003e \u003cbr\u003e Introduction to the Heath, Jarrow and Morton model;\u003cbr\u003e Volatility functions in HJM;\u003cbr\u003e Market models;\u003cbr\u003e General market models\u003cbr\u003e \u003cbr\u003e 9. Other interest rate models\u003cbr\u003e \u003cbr\u003e Consol models;\u003cbr\u003e Price kernet models;\u003cbr\u003e Positive interest rate models;\u003cbr\u003e Non-linear models\u003cbr\u003e \u003cbr\u003e 10. General formulations of interest rate models\u003cbr\u003e \u003cbr\u003e Jump processes;\u003cbr\u003e Random field models;\u003cbr\u003e A general model;\u003cbr\u003e Jump models\u003cbr\u003e \u003cbr\u003e 11. Economic models\u003cbr\u003e \u003cbr\u003e Economics and interest rates\u003cbr\u003e \u003cbr\u003e An economically motivated financial model of interest rates;\u003cbr\u003e An IS-LM based model;\u003cbr\u003e IS-LM, hyperinflation and extended Vasicek;\u003cbr\u003e The general equilibrium framework;\u003cbr\u003e Interpreting the price kernel\u003cbr\u003e \u003cbr\u003e Part III Valuation methods\u003cbr\u003e \u003cbr\u003e 12. Finite difference methods\u003cbr\u003e \u003cbr\u003e The Feynman-Kac Equation;\u003cbr\u003e Discretising the PDE;\u003cbr\u003e Simplifying the PDE;\u003cbr\u003e Explicit methods;\u003cbr\u003e Implicit methods;\u003cbr\u003e The Crank-Nicolson method;\u003cbr\u003e Comparison of methods;\u003cbr\u003e Implicit boundary conditions;\u003cbr\u003e Fitting to an initial term structure;\u003cbr\u003e Finite difference methods in N dimensions;\u003cbr\u003e Operator splitting;\u003cbr\u003e A two-dimensional PDE;\u003cbr\u003e Solving a PDDE\u003cbr\u003e \u003cbr\u003e 13. Valuation: the Monte Carlo method\u003cbr\u003e \u003cbr\u003e The basic Monte Carlo method;\u003cbr\u003e Speed-up methods;\u003cbr\u003e Sampling issues;\u003cbr\u003e Simulation methods for HJM models\u003cbr\u003e \u003cbr\u003e 14. Lattice methods\u003cbr\u003e \u003cbr\u003e Introduction to lattice methods;\u003cbr\u003e Issues in constructing a lattice;\u003cbr\u003e Examples of lattice methods;\u003cbr\u003e Calibration to market prices;\u003cbr\u003e The explicit finite difference method;\u003cbr\u003e Lattices and the Monte Carlo method;\u003cbr\u003e Non-recombining lattices;\u003cbr\u003e Conclusions\u003cbr\u003e \u003cbr\u003e Part IV Calibration and estimation\u003cbr\u003e \u003cbr\u003e 15. Modelling the yield curve\u003cbr\u003e \u003cbr\u003e Stripping the yield curve;\u003cbr\u003e Fitting using parameterised curves;\u003cbr\u003e Fitting the yield curve using splines;\u003cbr\u003e Nelson and Siegel curves;\u003cbr\u003e Comparison of families of curves;\u003cbr\u003e Kernel methods of yield curve estimations;\u003cbr\u003e LP and regression methods\u003cbr\u003e \u003cbr\u003e 16. Principal components analysis\u003cbr\u003e \u003cbr\u003e Volatility structures;\u003cbr\u003e Identifying empirical volatility factors;\u003cbr\u003e Calibrating whole yield curve methods;\u003cbr\u003e Processes on manifolds;\u003cbr\u003e Analysis of dynamical systems;\u003cbr\u003e Conclusions\u003cbr\u003e \u003cbr\u003e 17. Estimation methods: GMM and ML\u003cbr\u003e \u003cbr\u003e GMM estimation;\u003cbr\u003e Implementation issues;\u003cbr\u003e The efficient method of moments (EMM);\u003cbr\u003e Maximum likelihood methods;\u003cbr\u003e Hierarchy of procedures\u003cbr\u003e \u003cbr\u003e 18. Further estimation methods\u003cbr\u003e \u003cbr\u003e Introduction;\u003cbr\u003e Filtering approaches to estimation;\u003cbr\u003e The extended Kalman Filter;\u003cbr\u003e GARCH models;\u003cbr\u003e Extensions of GARCH;\u003cbr\u003e Interest rate models and GARCH;\u003cbr\u003e Artificial neural nets (ANNs)\u003cbr\u003e \u003cbr\u003e 19. Interest rates and implied pricing\u003cbr\u003e \u003cbr\u003e Problems with interest rate models;\u003cbr\u003e Key relationships;\u003cbr\u003e The interest rate case;\u003cbr\u003e The implied pricing method;\u003cbr\u003e Regularisation functions;\u003cbr\u003e Patching tails onto pricing densities\u003cbr\u003e \u003cbr\u003e Afterword\u003cbr\u003e \u003cbr\u003e Notation\u003cbr\u003e \u003cbr\u003e Glossary of mathematical, market and model terms\u003cbr\u003e \u003cbr\u003e References\u003cbr\u003e \u003cbr\u003e Author Index\u003cbr\u003e \u003cbr\u003e Subject Index\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Finance \u0026amp; accounting [\u003ca title=\"See our other books on Finance \u0026amp; accounting\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Finance%20\u0026amp;%20accounting%20%5BKF%5D%22\"\u003eKF\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Wiley","offers":[{"title":"Brand New","offer_id":52501181432088,"sku":"9780471975236","price":87.59,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9780471975236.jpg?v=1786215447","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/interest-rate-modelling-hardback-9780471975236","provider":"Freshly Printed Books","version":"1.0","type":"link"}