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Interest Rate Modeling: Theory and Practice

Publisher: 
Chapman & Hall/CRC
Number of Pages: 
333
Price: 
79.95
ISBN: 
9781420090567
Date Received: 
Sunday, August 30, 2009
Reviewable: 
No
Include In BLL Rating: 
No
Reviewer Email Address: 
Lixin Wu
Series: 
Chapman & Hall/CRC Financial Mathematics Series
Publication Date: 
2009
Format: 
Paperback
Category: 
Monograph

The Basics of Stochastic Calculus

Brownian Motion

Stochastic Integrals

Stochastic Differentials and Ito’s Lemma

Multi-Factor Extensions

Martingales

The Martingale Representation Theorem

Changing Measures with Binomial Models

Change of Measures under Brownian Filtration

The Martingale Representation Theorem

A Complete Market with Two Securities

Replicating and Pricing of Contingent Claims

Multi-Factor Extensions

A Complete Market with Multiple Securities

The Black–Scholes Formula

Notes

Interest Rates and Bonds

Interest Rates and Fixed-Income Instruments

Yields

Zero-Coupon Bonds and Zero-Coupon Yields

Forward Rates and Forward-Rate Agreements

Yield-Based Bond Risk Management

The Heath–Jarrow–Morton Model

Lognormal Model: The Starting Point

The HJM Model

Special Cases of the HJM Model

Estimating the HJM Model from Yield Data

A Case Study with a Two-Factor Model

Monte Carlo Implementations

Forward Prices

Forward Measure

Black’s Formula for Call and Put Options

Numeraires and Changes of Measure

Notes

Short-Rate Models and Lattice Implementation

From Short-Rate Models to Forward-Rate Models

General Markovian Models

Binomial Trees of Interest Rates

A General Tree-Building Procedure

The LIBOR Market Model

LIBOR Market Instruments

The LIBOR Market Model

Pricing of Caps and Floors

Pricing of Swaptions

Specifications of the LIBOR Market Model

Monte Carlo Simulation Method

Calibration of LIBOR Market Model

Implied Cap and Caplet Volatilities

Calibrating the LIBOR Market Model to Caps

Calibration to Caps, Swaptions, and Input Correlations

Calibration Methodologies

Sensitivity with Respect to the Input Prices

Notes

Volatility and Correlation Adjustments

Adjustment due to Correlations

Adjustment due to Convexity

Timing Adjustment

Quanto Derivatives

Notes

Affine Term Structure Models

An Exposition with One-Factor Models

Analytical Solution of Riccarti Equations

Pricing Options on Coupon Bonds

Distributional Properties of Square-Root Processes

Multi-Factor Models

Swaption Pricing under ATSMs

Notes

References

Index

Publish Book: 
Modify Date: 
Thursday, April 1, 2010

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