Interest Rate Dynamics Derivatives Pricing And Risk Management

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Interest Rate Dynamics Derivatives Pricing And Risk Management

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Author : Lin Chen
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Interest Rate Dynamics Derivatives Pricing And Risk Management written by Lin Chen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.

There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives pricing fonnulas based on each type of model of the tenn structure. The no-arbitrage models are characterized by the work of Ho and Lee (1986), Heath, Jarrow, and Morton (1992), Hull and White (1990 and 1993), and Black, Dennan and Toy (1990). Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest rates. There are a number of disadvantages with their model. First, the model describes the whole volatility structure by a sin gle parameter, implying a number of unrealistic features. Furthennore, the model does not incorporate mean reversion. Black-Dennan-Toy (1990) develop a model along tbe lines of Ho and Lee. They eliminate some of the problems of Ho and Lee (1986) but create a new one: for a certain specification of the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuous models of the term struc ture consistent with the initial tenn structure data.

Interest Rate Dynamics Derivatives Pricing And Risk Management

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Author : Lin Chen
language : en
Publisher: Springer
Release Date : 1996-03-07

Interest Rate Dynamics Derivatives Pricing And Risk Management written by Lin Chen and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-03-07 with Business & Economics categories.

There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives pricing fonnulas based on each type of model of the tenn structure. The no-arbitrage models are characterized by the work of Ho and Lee (1986), Heath, Jarrow, and Morton (1992), Hull and White (1990 and 1993), and Black, Dennan and Toy (1990). Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest rates. There are a number of disadvantages with their model. First, the model describes the whole volatility structure by a sin gle parameter, implying a number of unrealistic features. Furthennore, the model does not incorporate mean reversion. Black-Dennan-Toy (1990) develop a model along tbe lines of Ho and Lee. They eliminate some of the problems of Ho and Lee (1986) but create a new one: for a certain specification of the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuous models of the term struc ture consistent with the initial tenn structure data.

Brazilian Derivatives And Securities

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Author : Marcos C. S. Carreira
language : en
Publisher: Springer
Release Date : 2016-07-11

Brazilian Derivatives And Securities written by Marcos C. S. Carreira and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-11 with Business & Economics categories.

The Brazilian financial markets operate in a very different way to G7 markets. Key differences include onshore and offshore markets, exponential rates, business days day-counts, and price formation from the futures markets (instead of the cash markets). This book provides a quantitative, applied guide to the offshore and onshore Brazilian markets, with a focus on the financial instruments unique to the region. It offers a comprehensive introduction to the key financial 'archaeology' in the Brazil context, exploring interest rates, FX and inflation and key differences from G7 market finance. It explores the core industry investment banking business in detail, from FX to interest rates and cash and inflation. Finally it introduces the region's unique financial instruments, as well as their pricing and risk management needs. Covering both introductory and complex topics, this book provides existing practitioners in Brazil, as well as those interested in becoming involved inthese markets, everything they need to understand the market dynamics, risks, pricing and calibration of curves for all products currently available.

Theory Of Financial Risk And Derivative Pricing

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Author : Jean-Philippe Bouchaud
language : en
Publisher: Cambridge University Press
Release Date : 2003-12-11

Theory Of Financial Risk And Derivative Pricing written by Jean-Philippe Bouchaud and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-11 with Business & Economics categories.

Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.

Advanced Derivatives Pricing And Risk Management

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Author : Claudio Albanese
language : en
Publisher: Academic Press
Release Date : 2006

Advanced Derivatives Pricing And Risk Management written by Claudio Albanese and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business & Economics categories.

Book and CDROM include the important topics and cutting-edge research in financial derivatives and risk management.

Pricing Derivative Credit Risk

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Author : Manuel Ammann
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-29

Pricing Derivative Credit Risk written by Manuel Ammann and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-29 with Business & Economics categories.

Credit risk is an important consideration in most financial transactions. As for any other risk, the risk taker requires compensation for the undiversifiable part of the risk taken. In bond markets, for example, riskier issues generally promise investors a higher yield. The same principle also applies to financial derivatives. Otherwise identical derivative securities will likely have differ ent prices if the counterparties are not of the same credit quality. Although this argument seems intuitively convincing, widely used pricing models for financial derivatives do not incorporate credit risk effects. This research monograph analyzes the effect of credit risk on financial derivatives prices. Credit risk can affect derivatives prices in a variety of ways. First, financial derivatives can be subject to counterparty default risk. Second, a derivative can be written on a security which is subject to credit risk, such as a corporate bond. Third, the credit risk itself can be the un derlying of a derivative instrument. The text focuses on valuation models which take into account counterparty risk but also addresses the other two valuation problems.

Stochastic Calculus And Brownian Motion

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Author : Tejas Thakur
language : en
Publisher: Educohack Press
Release Date : 2025-02-20

Stochastic Calculus And Brownian Motion written by Tejas Thakur and has been published by Educohack Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-02-20 with Science categories.

"Stochastic Calculus and Brownian Motion" is a comprehensive guide crafted for students and professionals in mathematical sciences, focusing on stochastic processes and their real-world applications in finance, physics, and engineering. We explore key concepts and mathematical foundations of random movements and their practical implications. At its core, the book delves into Brownian motion, the random movement of particles suspended in a fluid, as described by Robert Brown in the 19th century. This phenomenon forms a cornerstone of modern probability theory and serves as a model for randomness in physical systems and financial models describing stock market behaviors. We also cover martingales, mathematical sequences where future values depend on present values, akin to a fair game in gambling. The book demonstrates how martingales are used to model stochastic processes and their calibration in real-world scenarios. Stochastic calculus extends these ideas into continuous time, integrating calculus with random processes. Our guide provides the tools to understand and apply Itô calculus, crucial for advanced financial models like pricing derivatives and managing risks. Written clearly and systematically, the book includes examples and exercises to reinforce concepts and showcase their real-world applications. It serves as an invaluable resource for students, educators, and professionals globally.

Pricing Derivative Securities

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Author : T. W. Epps
language : en
Publisher: World Scientific
Release Date : 2000

Pricing Derivative Securities written by T. W. Epps and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Business & Economics categories.

Latest Edition: Pricing Derivative Securities (2nd Edition)The development of successful techniques for valuing derivative assets is among the most influential achievements of economic science. Pricing Derivative Securities presents the theory of financial derivatives in a way that emphasizes both its mathematical foundations and its practical implementation. The book's organization reveals its three distinctive features. Part I surveys the necessary tools of analysis, probability theory, and stochastic calculus, thus making the book self-contained. The chapters in Part II, Pricing Theory, are organized around the dynamics of the price processes of underlying assets, progressing from simple models to those that require considerable mathematical sophistication. The last part of the book is devoted to the empirical implementation of the pricing formulas developed in Part II, offering a detailed survey of numerical methods and providing a collection of programs in FORTRAN and C++.Errata(s)Preface, Page viChapter 13, Page 534?www.worldscientific.com/books/4415.zip? The above links should be replaced with?www.worldscientific.com/doi/suppl/10.1142/4415/suppl_file/4415_software_free.zip?Errata

Advances In Risk Management

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Author : G. Gregoriou
language : en
Publisher: Springer
Release Date : 2006-11-17

Advances In Risk Management written by G. Gregoriou and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-11-17 with Business & Economics categories.

This important book brings together an edited series of papers about risk management and the latest developments in the field. Covering topics such as Stochastic Volatility, Risk Dynamics and Portfolio Diversification, this book is vital for optimal portfolio allocation for private and institutional investors, and is an indispensable tool.

Interest Rate Modeling

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Author : Leif B. G. Andersen
language : en
Publisher:
Release Date : 2010

Interest Rate Modeling written by Leif B. G. Andersen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Interest rate futures categories.

"The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods."--Preface.