The Random Character Of Interest Rates
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The Random Character Of Interest Rates
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Author : Joseph E. Murphy
language : en
Publisher:
Release Date : 2001
The Random Character Of Interest Rates written by Joseph E. Murphy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Bond market categories.
Evidence of the random character of interest rates - data updated through 2000.
The Random Character Of Interest Rates
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Author : Joseph E. Murphy
language : en
Publisher: Irwin Professional Publishing
Release Date : 1990
The Random Character Of Interest Rates written by Joseph E. Murphy and has been published by Irwin Professional Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Business & Economics categories.
Presents an approach to predicting interest rate moves which enables readers to ascertain the risk/reward characteristics of bond markets investments because interest rates have tremendous impact on the price of fixed income securities.
The Changing Behavior Of The Term Structure Of Interest Rates
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Author : N. Gregory Mankiw
language : en
Publisher:
Release Date : 1985
The Changing Behavior Of The Term Structure Of Interest Rates written by N. Gregory Mankiw and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Interest rates categories.
We reexamine the expectations theory of the term structure using data at the short end of the maturity spectrum. We find that prior to the founding ofthe Federal Reserve System in 1915, the spread between long rates and short rates has substantial predictive power for the path of interest rates; after 1915, however, the spread contains much less predictive power. We then show that the short rate is approximately a random walk after the founding of the Fed but not before. This latter fact, coupled with even slight variation inthe term premium, can explain the observed change in 1915 in the performance of the expectations theory. We suggest that the random walk character of the short rate may be attributable to the Federal Reserve's commitment to stabilizing interest rates.
The Changing Behavior Of The Term Structure Of Interest Rates
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Author : N. Gregory Mankiw
language : en
Publisher:
Release Date : 2010
The Changing Behavior Of The Term Structure Of Interest Rates written by N. Gregory Mankiw and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
We reexamine the expectations theory of the term structure using data at the short end of the maturity spectrum. We find that prior to the founding ofthe Federal Reserve System in 1915, the spread between long rates and short rates has substantial predictive power for the path of interest rates; after 1915, however, the spread contains much less predictive power. We then show that the short rate is approximately a random walk after the founding of the Fed but not before. This latter fact, coupled with even slight variation inthe term premium, can explain the observed change in 1915 in the performance of the expectations theory. We suggest that the random walk character of the short rate may be attributable to the Federal Reserve's commitment to stabilizing interest rates.
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 Mathematics 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.
Fixed Income Securities
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Author : Sunil Kumar Parameswaran
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2019-11-18
Fixed Income Securities written by Sunil Kumar Parameswaran and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-11-18 with Business & Economics categories.
Fixed Income Securities covers the entire gamut of fixed income products, from plain vanilla bonds to interest rate derivatives and mortgage-backed securities. With helpful numerical illustrations and explanations on the use of specific functions in Excel, this book presents essential constructs and concepts, with a simultaneous focus on practical applications and issues of interest to market professionals. Sunil Kumar Parameswaran delves into the time value of money, bonds, yield measures, money markets, interest rate futures, and interest rate swaps to provide an in-depth look at issues pertaining to fixed income securities. This book is an essential resource for professionals in the fields of brokerage, insurance, mutual funds, pension funds, hedge funds, commercial and investment banks, as well as students of finance.
Derivatives Risk Management Value
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Author : Mondher Bellalah
language : en
Publisher: World Scientific
Release Date : 2010
Derivatives Risk Management Value written by Mondher Bellalah and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
19.1. Numerical analysis and simulation techniques : an introduction to finite difference methods. 19.2. Application to European options on non-dividend paying stocks. 19.3. Valuation of American options with a composite volatility. 19.4. Simulation methods : Monte-Carlo method. ch. 20. Numerical methods and partial differential equations for European and American derivatives with complete and incomplete information. 20.1. Valuation of American calls on dividend-paying stocks. 20.2. American puts on dividend-paying stocks. 20.3. Numerical procedures in the presence of information costs : applications. 20.4. Convertible bonds. 20.5. Two-factor interest rate models and bond pricing within information uncertainty. 20.6. CBs pricing within information uncertainty -- pt. VIII. Exotic derivatives. ch. 21. Risk management : exotics and second-generation options. 21.1. Exchange options. 21.2. Forward-start options. 21.3. Pay-later options. 21.4. Simple chooser options. 21.5. Complex choosers. 21.6. Compound options. 21.7. Options on the maximum (minimum). 21.8. Extendible options. 21.9. Equity-linked foreign exchange options and quantos. 21.10. Binary barrier options. 21.11. Lookback options. ch. 22. Value at risk, credit risk, and credit derivatives. 22.1. VaR and riskmetrics : definitions and basic concepts. 22.2. Statistical and probability foundation of VaR. 22.3. A more advanced approach to VaR. 22.4. Credit valuation and the creditmetrics approach. 22.5. Default and credit-quality migration in the creditmetrics approach. 22.6. Credit-quality correlations. 22.7. Portfolio management of default risk in the Kealhofer, McQuown and Vasicek (KMV) approach. 22.8. Credit derivatives : definitions and main concepts. 22.9. The rating agencies models and the proprietary models.
The Random Character Of Stock Market Prices
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Author : Paul H. Cootner
language : en
Publisher: MIT Press (MA)
Release Date : 1967
The Random Character Of Stock Market Prices written by Paul H. Cootner and has been published by MIT Press (MA) this book supported file pdf, txt, epub, kindle and other format this book has been release on 1967 with Business & Economics categories.
Numerical Simulation Of The Term Structure Of Interest Rates Using A Random Field
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Author : Stuart McDonald
language : en
Publisher:
Release Date : 2002
Numerical Simulation Of The Term Structure Of Interest Rates Using A Random Field written by Stuart McDonald and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Interest rates categories.
Interest Rates And Stock Speculation
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Author : Richard Norman Owens
language : en
Publisher:
Release Date : 1925
Interest Rates And Stock Speculation written by Richard Norman Owens and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1925 with Interest categories.