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The New Interest Rate Models

Edited By Lane Hughston

Overview

A comprehensive collection that looks at the development of interest-rate models since 1992.

Publish date: 1 Dec 2003

Availability: In stock

£145.00
OR

Book description

  • Covers interest-rate analysis in the light of increased computer power
  • Investigates simulation processes, e.g. random walks and Monte Carlo simulation
  • Details the development of three new interest-rate model types including the Markov decision process, extensions and generalisations to the Heath-Jarrow-Morton model and market models
  • Makes accessible advanced models that enable modellers to ’complete the market’ more efficiently when calculating interest rate securities and options’ portfolios
  • Analysis of Heath-Jarrow-Morton extensions

Book details

ISBN
9781899332977
Publish date
1 Dec 2003
Format
Size
A4

Editor biography

Lane Hughston

David Heath, Robert Jarrow and Andrew Morton ; Björn Flesaker ; Kaushik I. Amin and Andrew J. Morton ; Peter Ritchken and L Sanakarasubramanian ; Kalok C. Chan, G. Andrew Karolyi, Francis A. Longstaff and Anthony B. Sanders ; Andrew Carverhill ; Yacine Aït-Sahalia ; Neil Pearson and A. Zhou ; Oldrich Vasicek ; George M. Constantinides ; L. C. G. Rogers ; Marek Rutkowski ; Björn Flesaker Lane Hughston ; Philip Hunt, Joanne Kennedy and Antoon Pelsser ; Klaus Sandmann and Dieter Sondermann ; Darrell Duffie, and Raymond M. Kan ; Douglas Kennedy ; Tomas Björk and Bent J. Christensen ; Jean-Philippe Bouchaud, Nicolas Sagna, Rama Cont, Nicole el-Karoui and Marc Potters

Table of contents

CONTENTS

By Lane Hughston

Introduction

Lane Hughston

I. Forward short rate models and their empirical consequences

Chapter 1

Bond Pricing and the Term Structure of Interest Rates

David Heath, Robert Jarrow and Andrew Morton

Chapter 2

Testing the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent

Claims Pricing

Björn Flesaker

Chapter 3

Implied Volatility Functions in Arbitrage-Free Term Structure Models

Kaushik I. Amin and Andrew J. Morton

Chapter 4

Volatility Structures of Forward Rates and the Dynamics of the Term

Structure

Peter Ritchken and L Sanakarasubramanian

II. Short rate models new and old

Chapter 5

The Volatility of Short-Term Interest Rates: An Empirical Comparison of

Alternative Models of the Term Structure of Interest Rates

Kalok C. Chan, G. Andrew Karolyi, Francis A. Longstaff and Anthony B.

Sanders

Chapter 6

When is the short rate Markovian?

Andrew Carverhill

Chapter 7

Non-parametric Pricing of Interest Rate Derivative Securities

Yacine Aït-Sahalia

Chapter 8

A Non-parametric Analysis of the Forward Rate Volatilities

Neil Pearson and A. Zhou

Chapter 9

Bond Market Clearing

Oldrich Vasicek

III. Potentials and Positive Interest

Chapter 10

A Theory of the Nominal Term Structure of Interest Rates

George M. Constantinides

Chapter 11

The Potential Approach to the Term Structure of Interest Rates

L. C. G. Rogers

Chapter 12

A Note on the Flesaker-Hughston Model of the Term Structure of Interest

Rates

Marek Rutkowski

Chapter 13

International Models for Interest Rates and Foreign Exchange

Björn Flesaker Lane Hughston

Chapter 14

Markov-Functional Interest Rate Models

Philip Hunt, Joanne Kennedy and Antoon Pelsser

IV. From Market Models to Hilbert space theories of the term structure

Chapter 15

A Term Structure Model and the Pricing of Interest Rate Derivatives

Klaus Sandmann and Dieter Sondermann

Chapter 16

A Yield-Factor Model of Interest Rates

Darrell Duffie, and Raymond M. Kan

Chapter 17

Characterising Gaussian Models of the Term Structure

Douglas Kennedy

Chapter 18

Interest Rate Dynamics and Consistent Forward Rate Curves

Tomas Björk and Bent J. Christensen

Chapter 19

Strings Attached

Jean-Philippe Bouchaud, Nicolas Sagna, Rama Cont, Nicole el-Karoui and Marc

Potters

Testimonials

“Provides an excellent view of the various approaches to modelling interest rates that are available in the market...A useful reference for anyone working on interest rates.“

Douglas Long, Principia Partners

Customer Reviews

Average customer reviews for The New Interest Rate Models
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