Interest rate modeling for risk management : market price of interest rate risk / Takashi Yasuoka.

Format:

Book

Author/Creator:

Yasuoka, Takashi, author.

Series:

Economics: Current and Future Developments ; 1

Language:

English

Subjects (All):

Interest rate risk--Mathematical models.

Interest rate risk.

Financial risk management--Mathematical models.

Financial risk management.

Physical Description:

1 online resource (302 pages)

Edition:

1st ed.

Place of Publication:

Sharjah : Bentham Science Publishers, Limited, [2015]

Summary:

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.

Contents:

Cover; Title; EUL; Contents; Summary; Preface; Acknowledgement; Biography; Chapter 01; Chapter 02; Chapter 03; Chapter 04; Chapter 05; Chapter 06; Chapter 07; Chapter 08; Chapter 09; Chapter 10; Appendix; References; Author Index; Subject Index; Back

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on online resource; title from PDF title page (ebrary, viewed June 14, 2016).

ISBN:

9781681081267

1681081261

OCLC:

951065398