Interest Rate Modeling For Risk Management Market Price Of Interest Rate Risk Second Edition
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Interest Rate Modeling For Risk Management Market Price Of Interest Rate Risk Second Edition
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Author : Takashi Yasuoka
language : en
Publisher: Bentham Science Publishers
Release Date : 2018-05-09
Interest Rate Modeling For Risk Management Market Price Of Interest Rate Risk Second Edition written by Takashi Yasuoka and has been published by Bentham Science Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-05-09 with Business & Economics categories.
Interest Rate Modeling for Risk Management presents an economic model which can be used to compare interest rate and perform market risk assessment analyses. The key interest rate model applied in this book is specified under real-world measures, and the result is used as to generate scenarios for interest rates. The book introduces a theoretical framework that allows estimating the market price of interest rate risk. For this, the book starts with a brief explanation of stochastic analysis, and introduces interest rate models such as Heath-Jarrow-Morton, Hull-White and LIBOR models. The real-world model is then introduced in subsequent chapters. Additionally, the book also explains some properties of the real-world model, along with the negative price tendency of the market price for risk and a positive market price of risk (with practical examples). Readers will also find a handy appendix with proofs to complement the numerical methods explained in the book. This book is intended as a primer for practitioners in financial institutions involved in interest rate risk management. It also presents a new perspective for researchers and graduates in econometrics and finance on the study of interest rate models. The second edition features an expanded commentary on real world models as well as additional numerical examples for the benefit of readers.
Introduction To Derivative Securities Financial Markets And Risk Management An Second Edition
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Author : Robert A Jarrow
language : en
Publisher: World Scientific
Release Date : 2019-05-16
Introduction To Derivative Securities Financial Markets And Risk Management An Second Edition written by Robert A Jarrow and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-16 with Business & Economics categories.
Written by two of the most distinguished finance scholars in the industry, this introductory textbook on derivatives and risk management is highly accessible in terms of the concepts as well as the mathematics.With its economics perspective, this rewritten and streamlined second edition textbook, is closely connected to real markets, and:Beginning at a level that is comfortable to lower division college students, the book gradually develops the content so that its lessons can be profitably used by business majors, arts, science, and engineering graduates as well as MBAs who would work in the finance industry.
Modeling Fixed Income Securities And Interest Rate Options
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Author : Robert A. Jarrow
language : en
Publisher: Stanford University Press
Release Date : 2002
Modeling Fixed Income Securities And Interest Rate Options written by Robert A. Jarrow and has been published by Stanford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Business & Economics categories.
This text seeks to teach the basics of fixed-income securities in a way that requires a minimum of prerequisites. Its approach - the Heath Jarrow Morton model - under which all other models are presented as special cases, aims to enhance understanding while avoiding repetition.
Interest Rate Modeling
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Author : Lixin Wu
language : en
Publisher: CRC Press
Release Date : 2019-03-04
Interest Rate Modeling written by Lixin Wu and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-04 with Business & Economics categories.
Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd Edition portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with financial-economical justifications, develops options along the martingale approach, and handles option evaluations with precise numerical methods. Features Presents a complete cycle of model construction and applications, showing readers how to build and use models Provides a systematic treatment of intriguing industrial issues, such as volatility and correlation adjustments Contains exercise sets and a number of examples, with many based on real market data Includes comments on cutting-edge research, such as volatility-smile, positive interest-rate models, and convexity adjustment New to the 2nd edition: volatility smile modeling; a new paradigm for inflation derivatives modeling; an extended market model for credit derivatives; a dual-curved model for the post-crisis interest-rate derivatives markets; and an elegant framework for the xVA.
Multi Asset Risk Modeling
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Author : Morton Glantz
language : en
Publisher: Academic Press
Release Date : 2013-12-03
Multi Asset Risk Modeling written by Morton Glantz and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-03 with Business & Economics categories.
Multi-Asset Risk Modeling describes, in a single volume, the latest and most advanced risk modeling techniques for equities, debt, fixed income, futures and derivatives, commodities, and foreign exchange, as well as advanced algorithmic and electronic risk management. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management. - Covers all asset classes - Provides mathematical theoretical explanations of risk as well as practical examples with empirical data - Includes sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities
Currency Overlay
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Author : Neil Record
language : en
Publisher: John Wiley & Sons
Release Date : 2004-02-06
Currency Overlay written by Neil Record and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-02-06 with Business & Economics categories.
Currency overlay is the management of the currency exposure inherent in cross-border institutional investments. Exposure to foreign currencies increases the volatility of their returns, without increasing the returns themselves and academics and consultants recommended that the currency exposure should be stripped out of international portfolios and eliminated as far as practicable. This book provides a comprehensive description of currency overlay, its history and possible future developments and growth, the reason for its emergence, the debates and controversies, the different styles of currency management, and the industry's performance track record. This is a subject of international appeal and is an area of particular growth potential for institutional investors. Coverage includes: The theoretical case for eliminating currency risk in international portfolios The interplay between asset returns and currency returns, and the effect of this on hedging decisions Benchmarks - their construction and strategic role Least-cost passive overlay The structure of the currency market, and its 'inefficiencies' Active overlay styles Active overlay both restricted and unrestricted (currency alpha) Uses diagrams, charts, tables and explanatory boxes to explain concepts
Option Theory
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Author : Peter James
language : en
Publisher: John Wiley & Sons
Release Date : 2003-04-04
Option Theory written by Peter James and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-04-04 with Business & Economics categories.
A unified development of the subject, presenting the theory of options in each of the different forms and stressing the equivalence between each of the methodologies. * Demystifies some of the more complex topics. * Derives practical, tangible results using the theory, to help practitioners in problem solving. * Applies the results obtained to the analysis and pricing of options in the equity, currency, commodity and interest rate markets. * Gives the reader the analytical tools and technical jargon to understand the current technical literature available. * Provides a user-friendly reference on option theory for practicing investors and traders.
Fixed Income Strategy
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Author : Tamara Mast Henderson
language : en
Publisher: John Wiley & Sons
Release Date : 2004-04-21
Fixed Income Strategy written by Tamara Mast Henderson and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-04-21 with Business & Economics categories.
Market players put their jobs on the line with every position they take. Any fixed income investor in the circumstance of being granted one wish would probably want to know what interest rates are going to do in the future. Economists and others have constructed models of interest rate behaviour, but no model works in all circumstances. The main aim of this book is to straddle the different worlds of theoretical models and practical market experience, while offering an interdisciplinary framework for fixed income investing and trading. A focussed but very practical approach to fixed-income investment, aimed at practitioner market Contains investment checklists and interviews with market practitioners Offers an interdisciplinary framework for fixed-income investing and trading, and combines worlds of theoretical models and practical market experience
Active Investment Management
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Author : Charles Jackson
language : en
Publisher: John Wiley & Sons
Release Date : 2004-02-06
Active Investment Management written by Charles Jackson and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-02-06 with Business & Economics categories.
Active Investment Management looks at where active management has come from, where it is today, what problems it faces and where the answers to these questions are leading it. The book addresses the major issues concerning the key groups within the industry. Charles Jackson's wonderfully readable book will be essential reading for the practitioner and is broken down into five sections covering the whole spectrum of active investment management: * asset classes and products * balancing risk and return * active product selection * the nature of skill * the price of skill .
Elementary Introduction To Stochastic Interest Rate Modeling An 2nd Edition
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Author : Nicolas Privault
language : en
Publisher: World Scientific
Release Date : 2012-05-04
Elementary Introduction To Stochastic Interest Rate Modeling An 2nd Edition written by Nicolas Privault and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-04 with Mathematics categories.
Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of concepts with a focus on explicit calculations. Each chapter is accompanied with exercises and their complete solutions, making the book suitable for advanced undergraduate and graduate level students.This second edition retains the main features of the first edition while incorporating a complete revision of the text as well as additional exercises with their solutions, and a new introductory chapter on credit risk. The stochastic interest rate models considered range from standard short rate to forward rate models, with a treatment of the pricing of related derivatives such as caps and swaptions under forward measures. Some more advanced topics including the BGM model and an approach to its calibration are also covered.