Building and using dynamic interest rate models:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Chichester [u.a.]
Wiley
2001
|
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XX, 215 S. Ill., graph. Darst. |
| ISBN: | 0471495956 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV013946838 | ||
| 003 | DE-604 | ||
| 005 | 20020219 | ||
| 007 | t | ||
| 008 | 011008s2001 ad|| |||| 00||| eng d | ||
| 020 | |a 0471495956 |9 0-4714-9595-6 | ||
| 035 | |a (OCoLC)247903391 | ||
| 035 | |a (DE-599)BVBBV013946838 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-703 | ||
| 082 | 0 | |a 332.82015118 | |
| 084 | |a QC 210 |0 (DE-625)141260: |2 rvk | ||
| 100 | 1 | |a Kortanek, Ken O. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Building and using dynamic interest rate models |c Ken O. Kortanek and Vladimir G. Medvedev |
| 264 | 1 | |a Chichester [u.a.] |b Wiley |c 2001 | |
| 300 | |a XX, 215 S. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley finance series | |
| 650 | 4 | |a Zinsstruktur / Dynamisches Modell / Schätzung / Theorie | |
| 650 | 0 | 7 | |a Zins |0 (DE-588)4067845-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Mathematisches Modell |0 (DE-588)4114528-8 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Zins |0 (DE-588)4067845-3 |D s |
| 689 | 0 | 1 | |a Mathematisches Modell |0 (DE-588)4114528-8 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Medvedev, Vladimir G. |e Verfasser |4 aut | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009543473&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-009543473 | ||
Datensatz im Suchindex
| _version_ | 1804128792658051072 |
|---|---|
| adam_text | Contents Preface xi
Acknowledgements xix
1 On the conventional and pure multi period loan structure 1
1.1 Pure short term lending 1
1.2 Pure long term interest rates 3
1.2.1 An illustration of a very simple arbitrage 4
1.2.2 An illustration of a Standard definition and day count
Convention 4
1.2.3 Continuous compounding of an interest rate over a time
interval 6
1.3 On bonds: face value, coupon rate, premiums, discounts, and yields 7
1.3.1 Relation of the premium factor to long term interest rates 9
1.3.2 Bond yields and their relation to long term interest rates 10
1.3.3 Mean average approximations to the yield structure 11
1.4 On spot interest rates, forward interest rates, and the yield to
maturity 12
1.4.1 Forward rates as implied by future spot rates (yields to
maturity) 13
1.4.2 Instantaneous forward rates 14
1.5 An example in the literature 15
1.6 Bootstrapping from successive forward rates for a piecewise
constant forward rate function 16
1.7 Chapter notes 17
2 Differential Systems modeis for asset prices under uncertainty 19
2.1 A description of an uncertainty walk for asset prices 19
2.2 Modeling asset prices with input perturbations 23
2.2.1 Point impulse perturbations generating discontinuous
asset prices 23
2.2.2 Impulse perturbations generating continuous asset prices 24
2.3 Estimating input perturbations and asset price trajectories 25
2.4 On minimax observation problems under uncertainty with
perturbations 26
viii Contents
2.4.1 Minimax observation problem under uncertainty with
perturbations 27
2.5 Chapter notes 29
3 Constant maturity, one factor dynamic models for term structure estimation 31
3.1 A common specification of time intervals and their subintervals 32
3.2 Definitions of parameter spaces and admissible spot rate functions 32
3.3 Modeling bonds having common maturity for yield estimation 33
3.3.1 Observation models and parameter admissible yields 33
3.3.2 Vasicek type spot rate estimation model using impulse
perturbations 35
3.3.3 Advantages of using perturbations 40
3.3.4 Vasicek type spot rate estimation using point impulse
perturbations 46
3.3.5 A Dothan type model with impulse perturbations 48
3.3.6 A Courtadon type model with impulse perturbations 53
3.3.7 A nondifferential equation, continuous time model 54
3.3.8 Real time positional spot rate estimation 55
3.4 Modeling of bonds with differing maturities 57
3.5 A two dimensional observation model 57
3.6 Chapter notes 61
4 Constant maturity, bilevel models for term structure estimation 63
4.1 Nature of bilevel perturbations 63
4.2 Bilevel spot rate minimax estimation 64
5 Numerical experiments with one factor and bilevel models for extended
periods of observations 71
5.1 Results from the piecewise constant observation model (3.10) 71
5.2 Results from the piecewise linear observation model (3.11) 72
5.3 Some experiments in sensitivities 76
6 Modeling nonarbitrage and market price of risk in linear differential systems 81
6.1 A nonarbitrage condition for linear dynamical equations models
under uncertainty 81
6.1.1 A sufficient condition for nonarbitrage of constant
maturity yield minimax estimation 84
6.2 Estimating the market price of risk for dynamical systems under
uncertainty 84
6.2.1 A priori estimation of the market price of risk 85
6.2.2 Optimal estimation of the market price of risk 85
6.2.3 Estimating the market price of risk under a fixed observed
current structure 86
6.3 Chapter notes 86
7 Characteristics of moments in linear dynamical systems under uncertainty
with perturbations 89
7.1 Mean path solutions to dynamical systems (2.17) 89
7.1.1 Numerical experiments on generating spot rate trajectories 90
Contents ix
7.2 Minimax amplitude 90
7.3 Chapter notes 92
8 Backtesting with Treasury auction data 95
8.1 Data and estimation 95
8.1.1 Forecasting 95
8.1.2 Reliability of forecasts 97
8.1.3 Range of forecasts 97
8.1.4 Precision of forecasts 97
8.2 A comparison backtest 110
9 A forward rates based dynamical system model 113
9.1 Extracting forward rates curves from the term structure of
interest rates 113
9.1.1 The observation model 113
9.1.2 The optimal observation problem 115
9.1.3 A linear differential equation under uncertainty model
for the forward rate curve 117
9.1.4 A yield based optimal observation problem 118
9.1.5 A price based optimal observation problem 120
9.1.6 A bid ask optimal observation problem 121
9.1.7 A general optimal observation problem 122
9.1.8 A tradeoff between smoothness of the estimation and
accuracy 122
9.2 Chapter notes 134
10 A general integro differential term structure model 135
10.1 A dynamical linear differential equations system for forward rates 135
10.2 Dynamic modeling of the term structure of interest rates 136
10.3 The term structure of interest rates for a fixed maturity 138
10.3.1 An impulse representation of the spot rate 139
10.3.2 A piecewise linear representation of the spot rate 140
10.3.3 A Vasicek type spot rate model 141
10.4 Chapter notes 141
11 Applications to pricing futures fairly and trading futures contracts 143
11.1 An equation for the fair future price of Treasury bills 143
11.2 Estimating arbitrage opportunities for a user selected future time
interval 144
11.2.1 Illustrative use of the estimated forward rates 145
11.2.2 The estimated nonarbitrage future price interval 145
11.3 An interest rate futures rate scenario at the close of 8/14/00 145
11.4 An interest rate futures rate scenario for the data date of 8/17/00 147
11.5 Chapter notes 150
12 Using term structure estimation in dynamic interest rate models and hedging
strategies 153
12.1 A simple term structure having three yields to maturity 153
x Contents
12.2 On the consistency of interest rate movements with the term
structure 153
12.3 A linear programming analysis of a hedging opportunity 156
12.3.1 Summary of data entries 160
12.4 Pricing a simple bond call option using an interest rate tree 160
12.5 Linear programming discounted dual variables as martingale
probabilities 161
12.6 Chapter notes 163
13 A review of semi infinite optimization with a focus on finance 165
13.1 Duality of the linear semi infinite programming problem 165
13.2 On the support problems method (Belarus) 167
13.3 Extended support problems method 168
13.4 A simple example 170
13.5 Numerical results on solving nonlinear semi infinite programming
problems by support problems method 170
13.6 Chapter notes 172
14 Software documentation of the term structure, constant maturity models 175
14.1 Getting started with the program TermStructureCAD 175
14.2 Defining the attributes of the input data 175
14.3 Selecting a model for estimating the term structure 176
14.4 Selecting parameters for the optimal observation problem 176
14.5 Signaling to solve the observation problem 176
14.6 The geometric analysis of solution outputs 184
14.7 Forecasting the yield curve for a selected future period 184
14.8 Forecasting constant maturity rates for a future period and term
to maturity 184
14.9 The three dimensional term structure surface rates for a future
period and maximum time to maturity 197
14.10 Chapter notes 197
15 Software documentation of the forward rate model 199
15.1 Getting started with the program FRateCAD and its required
inputs 199
15.2 Getting started, command buttons: New Project, Open Project,
Save As Project, and Save Project 199
15.3 Command buttons within the solving the estimation problem
window 207
15.3.1 A standard volatility measure 207
15.4 The mathematical programming solution results window 207
References 209
Index 213
|
| any_adam_object | 1 |
| author | Kortanek, Ken O. Medvedev, Vladimir G. |
| author_facet | Kortanek, Ken O. Medvedev, Vladimir G. |
| author_role | aut aut |
| author_sort | Kortanek, Ken O. |
| author_variant | k o k ko kok v g m vg vgm |
| building | Verbundindex |
| bvnumber | BV013946838 |
| classification_rvk | QC 210 |
| ctrlnum | (OCoLC)247903391 (DE-599)BVBBV013946838 |
| dewey-full | 332.82015118 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.82015118 |
| dewey-search | 332.82015118 |
| dewey-sort | 3332.82015118 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01487nam a2200385 c 4500</leader><controlfield tag="001">BV013946838</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20020219 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">011008s2001 ad|| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0471495956</subfield><subfield code="9">0-4714-9595-6</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)247903391</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV013946838</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-703</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.82015118</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QC 210</subfield><subfield code="0">(DE-625)141260:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Kortanek, Ken O.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Building and using dynamic interest rate models</subfield><subfield code="c">Ken O. Kortanek and Vladimir G. Medvedev</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Chichester [u.a.]</subfield><subfield code="b">Wiley</subfield><subfield code="c">2001</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XX, 215 S.</subfield><subfield code="b">Ill., graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Wiley finance series</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Zinsstruktur / Dynamisches Modell / Schätzung / Theorie</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Zins</subfield><subfield code="0">(DE-588)4067845-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Mathematisches Modell</subfield><subfield code="0">(DE-588)4114528-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Zins</subfield><subfield code="0">(DE-588)4067845-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Mathematisches Modell</subfield><subfield code="0">(DE-588)4114528-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Medvedev, Vladimir G.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009543473&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-009543473</subfield></datafield></record></collection> |
| id | DE-604.BV013946838 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:54:53Z |
| institution | BVB |
| isbn | 0471495956 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009543473 |
| oclc_num | 247903391 |
| open_access_boolean | |
| owner | DE-703 |
| owner_facet | DE-703 |
| physical | XX, 215 S. Ill., graph. Darst. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance series |
| spelling | Kortanek, Ken O. Verfasser aut Building and using dynamic interest rate models Ken O. Kortanek and Vladimir G. Medvedev Chichester [u.a.] Wiley 2001 XX, 215 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance series Zinsstruktur / Dynamisches Modell / Schätzung / Theorie Zins (DE-588)4067845-3 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Zins (DE-588)4067845-3 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Medvedev, Vladimir G. Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009543473&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kortanek, Ken O. Medvedev, Vladimir G. Building and using dynamic interest rate models Zinsstruktur / Dynamisches Modell / Schätzung / Theorie Zins (DE-588)4067845-3 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4067845-3 (DE-588)4114528-8 |
| title | Building and using dynamic interest rate models |
| title_auth | Building and using dynamic interest rate models |
| title_exact_search | Building and using dynamic interest rate models |
| title_full | Building and using dynamic interest rate models Ken O. Kortanek and Vladimir G. Medvedev |
| title_fullStr | Building and using dynamic interest rate models Ken O. Kortanek and Vladimir G. Medvedev |
| title_full_unstemmed | Building and using dynamic interest rate models Ken O. Kortanek and Vladimir G. Medvedev |
| title_short | Building and using dynamic interest rate models |
| title_sort | building and using dynamic interest rate models |
| topic | Zinsstruktur / Dynamisches Modell / Schätzung / Theorie Zins (DE-588)4067845-3 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Zinsstruktur / Dynamisches Modell / Schätzung / Theorie Zins Mathematisches Modell |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009543473&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT kortanekkeno buildingandusingdynamicinterestratemodels AT medvedevvladimirg buildingandusingdynamicinterestratemodels |