The Valuation Of Interest Rate Derivative Securities
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The Valuation Of Interest Rate Derivative Securities
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Author : Jeroen F. J. De Munnik
language : en
Publisher: Routledge
Release Date : 2005-10-18
The Valuation Of Interest Rate Derivative Securities written by Jeroen F. J. De Munnik and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-10-18 with Business & Economics categories.
The increased volatility of interest rates during recent years and the corresponding introduction of a variety of interest rate derivative securities like bond options, futures and embedded options in mortgages, underlines the need for a comprehensive financial theory to determine values of fixed income instruments and derivative securities consistently. This book provides: * a detailed overview and classification of the different approaches to value interest rate dependent securities * a comparison of the numerical approaches to value complex securities * an empirical examination for the Dutch Fixed Income Market of some well-known interest rate models which demonstrates recent improvements to describe interest rate movements in relation to contingent claim valuation.
The Valuation Of Interest Rate Derivative Securities
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Author : Jeroen F. J. Munnik
language : en
Publisher: Thesis Pub
Release Date : 1992
The Valuation Of Interest Rate Derivative Securities written by Jeroen F. J. Munnik and has been published by Thesis Pub this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Business & Economics categories.
Valuation And Risk Management Of Interest Rate Derivative Securities
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Author : Stephan Leithner
language : en
Publisher:
Release Date : 1992
Valuation And Risk Management Of Interest Rate Derivative Securities written by Stephan Leithner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Fixed-income securities categories.
Valuation Of Interest Sensitive Financial Instruments
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Author : David F. Babbel
language : en
Publisher: John Wiley & Sons
Release Date : 1996-11-13
Valuation Of Interest Sensitive Financial Instruments written by David F. Babbel 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 1996-11-13 with Business & Economics categories.
Valuations of Interest-Sensitive Financial Instruments provides in-depth analysis of the development and underpinnings of models that are essential to the financial analyst or valuation actuary. Complete coverage includes: spot and forward interest rates, discrete- and continuous-time one-factor models, multi-factor discrete- and continuous-time models, and simulation approaches.
The Valuation Of Interest Rate Derivative Securities In Continuous Time
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Author : Theodore M. Barnhill (III.)
language : en
Publisher:
Release Date : 1995
The Valuation Of Interest Rate Derivative Securities In Continuous Time written by Theodore M. Barnhill (III.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with categories.
Fixed Income And Interest Rate Derivative Analysis
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Author : Mark Britten-Jones
language : en
Publisher: Elsevier
Release Date : 1998-10-15
Fixed Income And Interest Rate Derivative Analysis written by Mark Britten-Jones and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-10-15 with Business & Economics categories.
Fixed Income and Interest Rate Derivative Analysis gives a clear and accessible approach to the analytical techniques of debt instrument valuation. Without using complicated mathematical abstractions, this text shows that the fundamentals of fixed income and interest rate derivate analysis can be easily understood when seen as a small number of simple economic concepts. Concepts inroduced in this book are reinforced and explained, not with the use of high-powered mathematics, but with actual examples of various market instruments and case studies from North America, Europe, Australia and Hong Kong. The text also contains review questions which aid the reader in their understanding. Mark Britten-Jones, BEcon, MA, PhD, is an Assistant Professor of Finance at the London Business School where he teaches Fixed Income Securities and Markets as part of a MBA and Master's course in Finance. A comprehensive and accessible explanation of underlying theory, and its practical application Case studies and worked examples from around the world's capital markets How to use spreadsheet modelling in fixed income and interest rate derivative valuation
Interest Rate Term Structure And Valuation Modeling
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Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 2002-11-29
Interest Rate Term Structure And Valuation Modeling written by Frank J. Fabozzi 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 2002-11-29 with Business & Economics categories.
This ultimate guide contains an excellent blend of theory and practice This comprehensive guide covers various aspects of model building for fixed income securities and derivatives. Filled with expert advice, valuable insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a book that all institutional investors, portfolio managers, and risk professionals should have. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles-which include numerous bestsellers—The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.
Pricing Derivative Securities
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Author : T. W. Epps
language : en
Publisher: World Scientific
Release Date : 2007
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 2007 with Business & Economics categories.
This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C++, and VBA program components.
Introduction To Derivative Securities Financial Markets And Risk Management An Third Edition
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Author : Robert A Jarrow
language : en
Publisher: World Scientific
Release Date : 2024-05-03
Introduction To Derivative Securities Financial Markets And Risk Management An Third 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 2024-05-03 with Business & Economics categories.
The third edition updates the text in two significant ways. First, it updates the presentation to reflect changes that have occurred in financial markets since the publication of the 2nd edition. One such change is with respect to the over-the-counter interest rate derivatives markets and the abolishment of LIBOR as a reference rate. Second, it updates the theory to reflect new research related to asset price bubbles and the valuation of options. Asset price bubbles are a reality in financial markets and their impact on derivative pricing is essential to understand. This is the only introductory textbook that contains these insights on asset price bubbles and options.
Efficient Methods For Valuing Interest Rate Derivatives
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Author : Antoon Pelsser
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Efficient Methods For Valuing Interest Rate Derivatives written by Antoon Pelsser 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 2013-03-09 with Mathematics categories.
This book provides an overview of the models that can be used for valuing and managing interest rate derivatives. Split into two parts, the first discusses and compares the traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently developed Market models. Unlike most of his competitors, the author's focus is not only on the mathematics: Antoon Pelsser draws on his experience in industry to explore a host of practical issues.