Synopsis
A comprehensive collection that looks at the development of interest-rate models from 1992 to present. *Covers interest-rate analysis in the light of increased computer power *Investigates simulation processes, ie 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
"synopsis" may belong to another edition of this title.
Review
Overall the book provides an excellent view of the various approaches to modelling interest rates that are available in the market. This book is a useful reference collection for anyone working on interest rates and would be particularly interesting to anyone in search of the `standard model'. -- Douglas Long, Principia Partners
From the Publisher
A comprehensive collection that looks at the development of interest-rate models from 1992 to present
* Covers interest-rate analysis in the light of increased computer power
* Investigates simulation processes, ie 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
"About this title" may belong to another edition of this title.
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The New Interest Rate Models : Recent Developments in the theory and Application of Yield Curve Dynamics
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New Interest Rate Models
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