Interest Rate Modeling Post Crisis Challenges And Approaches
Download Interest Rate Modeling Post Crisis Challenges And Approaches full books in PDF, epub, and Kindle. Read online free Interest Rate Modeling Post Crisis Challenges And Approaches ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
| Author | : Zorana Grbac |
| Publisher | : Springer |
| Total Pages | : 151 |
| Release | : 2015-12-26 |
| Genre | : Mathematics |
| ISBN | : 3319253859 |
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 |
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 | : Lixin Wu |
| Publisher | : CRC Press |
| Total Pages | : 494 |
| Release | : 2019-03-04 |
| Genre | : Mathematics |
| ISBN | : 1351227416 |
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 |
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 | : Leif B. G. Andersen |
| Publisher | : |
| Total Pages | : 1154 |
| Release | : 2010 |
| Genre | : Business & Economics |
| ISBN | : 9780984422104 |
"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 | : 356 |
| Release | : 2009-05-14 |
| Genre | : Business & Economics |
| ISBN | : 1420090577 |
Containing many results that are new or exist only in recent research articles, Interest Rate Modeling: Theory and Practice 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 app
| Author | : Carsten Wehn |
| Publisher | : Academic Press |
| Total Pages | : 658 |
| Release | : 2012-11-08 |
| Genre | : Business & Economics |
| ISBN | : 0124158757 |
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 | : Marco Bianchetti |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
In response to the financial crisis, a plethora of new research appeared which attempted to understand, incorporate, and delineate the most significant changes observed in the market. Editors Massimo Morini and Marco Bianchetti have both experienced first-hand how market patterns and consequently trading practices have evolved.For Interest Rate Modelling after the Financial Crisis, they have assembled a team of expert contributors who articulate and formalise the most important of these changes and the new methodologies which have accompanied them. Contributors include Fabio Mercurio, Akihiko Takahashi, Marc Henrard, and Messaoud Chibane. Their chapters analyse the latest developments in interest rate modelling, focusing particularly on derivatives markets, derivatives pricing, interest rate term structure and volatility modelling, and interest rate derivatives pricing models.Key chapters include:- Irony in Derivative Discounting: After the Crisis- Interest Rate Modelling under the Full Collateralization- Multi-Curve Low Dimensional Markovian Models in a HJM Framework- LIBOR Market Models with Stochastic BasisThis book is essential reading for quantitative analysts, risk managers and risk controllers, model validation groups, independent price verification groups, and all professionals interested in updating their understanding of the interest rate market after the crisis.
| Author | : Jan Kallsen |
| Publisher | : Springer |
| Total Pages | : 508 |
| Release | : 2016-12-01 |
| Genre | : Mathematics |
| ISBN | : 3319458752 |
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 | : Ken O. Kortanek |
| Publisher | : John Wiley & Sons |
| Total Pages | : 248 |
| Release | : 2001-11-28 |
| Genre | : Business & Economics |
| ISBN | : |
This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.
