Economics: Current and Future Developments
By:Takashi Yasuoka
Published on 2015-10-13 by Bentham Science Publishers
Interest Rate Modeling for Risk Management introduces a theoretical framework - the ‘real-world’ model - that allows us to estimate the market price of interest rate risk based on practical and real life situations. The model can be briefly summarized as a process of estimating the market prices of risk through discretization of forward rates with a ‘space-state setup’ whilst considering historical data trends. The book starts with a brief explanation of interest rate stochastic analysis fundamentals before delving into standard models such as Heath-Jarrow-Morton, Hull-White and LIBOR models. The real-world model is then explained in subsequent chapters while applying different frameworks. 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 for risk (with an example of this actually occurring). 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.
This Book was ranked at 12 by Google Books for keyword economics explained.
Book ID of Economics: Current and Future Developments's Books is IKgADgAAQBAJ, Book which was written byTakashi Yasuokahave ETAG "ca0j/oeKJzg"
Book which was published by Bentham Science Publishers since 2015-10-13 have ISBNs, ISBN 13 Code is 9781681081267 and ISBN 10 Code is 1681081261
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