Interest Rate Modeling Post Crisis Challenges And Approaches
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| Author | : Zorana Grbac |
| Publisher | : Springer |
| Total Pages | : 151 |
| Release | : 2015-12-26 |
| Genre | : Mathematics |
| ISBN | : 3319253859 |
Download Interest Rate Modeling: Post-Crisis Challenges and Approaches Book in PDF, Epub and Kindle
Filling a gap in the literature caused by the recent financial crisis, this book provides a treatment of the techniques needed to model and evaluate interest rate derivatives according to the new paradigm for fixed income markets. Concerning this new development, there presently exist only research articles and two books, one of them an edited volume, both being written by researchers working mainly in practice. The aim of this book is to concentrate primarily on the methodological side, thereby providing an overview of the state-of-the-art and also clarifying the link between the new models and the classical literature. The book is intended to serve as a guide for graduate students and researchers as well as practitioners interested in the paradigm change for fixed income markets. A basic knowledge of fixed income markets and related stochastic methodology is assumed as a prerequisite.
| Author | : Marco Bianchetti |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2013 |
| Genre | : Derivative securities |
| ISBN | : 9781906348939 |
Download Interest Rate Modelling After the Financial Crisis Book in PDF, Epub and Kindle
As interest rate markets continue to innovate and expand in this new landscape, it is becoming increasingly important to remain up-to-date with the latest practical and theoretical developments. In Interest Rate Modelling after the Financial Crisis, Massimo Morini and Marco Bianchetti address and explicate these changes, gathering the latest ideas on post-crisis market modelling and applying new methods to market data and market practice.
| Author | : Leif B. G. Andersen |
| Publisher | : |
| Total Pages | : 1154 |
| Release | : 2010 |
| Genre | : Business & Economics |
| ISBN | : 9780984422104 |
Download Interest Rate Modeling Book in PDF, Epub and Kindle
"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.
| Author | : Lixin Wu |
| Publisher | : CRC Press |
| Total Pages | : 494 |
| Release | : 2019-03-04 |
| Genre | : Mathematics |
| ISBN | : 1351227416 |
Download Interest Rate Modeling Book in PDF, Epub and Kindle
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.
| Author | : Mehdi Mili |
| Publisher | : Springer |
| Total Pages | : 298 |
| Release | : 2018-08-18 |
| Genre | : Business & Economics |
| ISBN | : 3319952854 |
Download New Methods in Fixed Income Modeling Book in PDF, Epub and Kindle
This book presents new approaches to fixed income modeling and portfolio management techniques. Taking into account the latest mathematical and econometric developments in finance, it analyzes the hedging securities and structured instruments that are offered by banks, since recent research in the field of fixed incomes and financial markets has raised awareness for changes in market risk management strategies. The book offers a valuable resource for all researchers and practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management.
| Author | : Carsten Wehn |
| Publisher | : Academic Press |
| Total Pages | : 657 |
| Release | : 2012-12-17 |
| Genre | : Business & Economics |
| ISBN | : 0124158889 |
Download Rethinking Valuation and Pricing Models Book in PDF, Epub and Kindle
It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are being reconsidered. This single volume provides a guide to lessons learned for practitioners and a reference for academics. Including reviews of traditional approaches, real examples, and case studies, contributors consider portfolio theory; methods for valuing equities and equity derivatives, interest rate derivatives, and hybrid products; and techniques for calculating risks and implementing investment strategies. Describing new approaches without losing sight of their classical antecedents, this collection of original articles presents a timely perspective on our post-crisis paradigm. Highlights pre-crisis best classical practices, identifies post-crisis key issues, and examines emerging approaches to solving those issues Singles out key factors one must consider when valuing or calculating risks in the post-crisis environment Presents material in a homogenous, practical, clear, and not overly technical manner
| Author | : Nicolas Privault |
| Publisher | : World Scientific |
| Total Pages | : 243 |
| Release | : 2012 |
| Genre | : Business & Economics |
| ISBN | : 9814390852 |
Download An Elementary Introduction to Stochastic Interest Rate Modeling Book in PDF, Epub and Kindle
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.
| Author | : Jan Kallsen |
| Publisher | : Springer |
| Total Pages | : 508 |
| Release | : 2016-12-01 |
| Genre | : Mathematics |
| ISBN | : 3319458752 |
Download Advanced Modelling in Mathematical Finance Book in PDF, Epub and Kindle
This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.
| Author | : Lixin Wu |
| Publisher | : CRC Press |
| Total Pages | : 721 |
| Release | : 2024-08-27 |
| Genre | : Business & Economics |
| ISBN | : 104010312X |
Download Interest Rate Modeling Book in PDF, Epub and Kindle
Containing many results that are new, or which exist only in recent research articles, this thoroughly revised third edition of Interest Rate Modeling: Theory and Practice, Third 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 smiles 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 Third edition Introduction of Fed fund market and Fed fund futures Replacement of the forward-looking USD LIBOR by the backward-looking SOFR term rates in the market model, and the deletion of dual-curve market model developed especially for the post-crisis derivatives markets New chapters on LIBOR Transition and SOFR Derivatives Markets
| Author | : Kathrin Glau |
| Publisher | : Springer |
| Total Pages | : 446 |
| Release | : 2016-12-02 |
| Genre | : Mathematics |
| ISBN | : 3319334468 |
Download Innovations in Derivatives Markets Book in PDF, Epub and Kindle
This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.
