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Building and using dynamic interest rate models / Ken Kortanek and Vladimir Medvedev.
- Format:
- Book
- Author/Creator:
- Kortanek, K. O., 1936-
- Series:
- Wiley finance series
- Language:
- English
- Subjects (All):
- Interest rates--Mathematical models.
- Physical Description:
- xx, 215 pages : illustrations ; 25 cm.
- Place of Publication:
- Chichester ; New York : J. Wiley, [2001]
- Summary:
- The fundamental theme of this book is the development and application of a new class of models for the term structure of interest rates. All significant properties of these dynamic systems models under nonstochastic uncertainty with perturbations are analogs of properties appearing in stochastic differential process models, principally, (a) the type of uncertainty, (b) a model for the spot rate, (c) a norm for uncertainty, (d) nonarbitrage conditions, (e) moments of uncertainty, and (f) modeling additional technical phenomena such as non-negative spot rates or forward rates.
- Notes:
- Includes bibliographical references and index.
- ISBN:
- 0471495956
- OCLC:
- 47049913
- Online:
- Table of Contents
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