Vasicek and beyond: approaches to building and applying interest rate models
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
London
Risk Publ.
1996
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | To appear in: Vasicek and beyond: approaches to building and applying interest trate models (Risk publications) 1966 |
| Beschreibung: | XXXII, 371 S. |
| ISBN: | 1899332553 |
Internformat
MARC
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| 245 | 1 | 0 | |a Vasicek and beyond |b approaches to building and applying interest rate models |c ed. by Lane Hughston |
| 264 | 1 | |a London |b Risk Publ. |c 1996 | |
| 300 | |a XXXII, 371 S. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a To appear in: Vasicek and beyond: approaches to building and applying interest trate models (Risk publications) 1966 | ||
| 650 | 7 | |a Econometrische modellen |2 gtt | |
| 650 | 7 | |a Finances - Modèles mathématiques |2 ram | |
| 650 | 7 | |a Instruments financiers - Mathématiques |2 ram | |
| 650 | 7 | |a Options (finances) - Modèles mathématiques |2 ram | |
| 650 | 7 | |a Options (finances) |2 ram | |
| 650 | 7 | |a Rente |2 gtt | |
| 650 | 7 | |a Taux d'intérêt |2 ram | |
| 650 | 7 | |a Taux d'intŕêts - Modèles mathémathiques |2 ram | |
| 650 | 7 | |a Taxa de juros (modelos matemáticos) |2 larpcal | |
| 650 | 7 | |a finance |2 inriac | |
| 650 | 7 | |a modélisation financière |2 inriac | |
| 650 | 7 | |a mouvement brownien |2 inriac | |
| 650 | 7 | |a processus stochastique |2 inriac | |
| 650 | 7 | |a risque |2 inriac | |
| 650 | 7 | |a taux intérêt |2 inriac | |
| 650 | 7 | |a équation différentielle stochastique |2 inriac | |
| 650 | 7 | |a évaluation option |2 inriac | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Interest rates |x Mathematical models | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-007556826 | ||
Datensatz im Suchindex
| _version_ | 1804125759647776768 |
|---|---|
| adam_text | CONTENTS
Foreword v
Authors viii
Introduction xiii
I. OPTION PRICING FUNDAMENTALS
1 The Pricing of Options and Corporate Liabilities 3 ;
Fischer Black and Myron Scholes
2 Option Pricing: A Simplified Approach 17
John C. Cox, Stephen A. Ross and Mark Rubinstein
3 On the Theory of Option Pricing 43
Alain Bensoussan
II. DYNAMIC ARBITRAGE MODELS
4 An Equilibrium Characterisation of the Term Structure 63
Oldrich A. Vasicek
5 A Continuous Time Approach to the Pricing of Bonds 73
Michael J. Brennan and Eduardo S. Schwartz
6 A Theory of the Term Structure of Interest Rates 91
John C. Cox, Jonathan E. Ingersoll and Stephen A. Ross
7 Pricing of Contingent Claims in the One Factor
Term Structure Model 111
Farshid Jamshidian
8 An Exact Bond Option Formula 123
Farshid Jamshidian
9 Pricing Interest Rate Derivative Securities 129
John Hull and Alan White
10 A One Factor Model of Interest Rates and its
Application to Treasury Bond Options 145
Fischer Black, Emanuel Derman and William Toy
11 Bond and Option Pricing when Short Rates are Log Normal 153
Fischer Black and Piotr Karasinskt
12 Bond and Option Evaluation in the
Gaussian Interest Rate Model 161
Farshid Jamshidian
III. THE HEATH JARROW MORTON FAMILY
13 Term Structure Movements and Pricing Interest Rate
Contingent Claims 193
Thomas S.Y. Ho and Sang Bin Lee
14 Bond Pricing and the Term Structure of Interest Rates:
A New Methodology for Contingent Claims Valuation 209
David Heath, Robert Jarrow and Andrew Morton
15 Pricing Options on Risky Assets in a Stochastic
Interest Rate Economy 235
Kaushik Amin and Robert Jarrow
16 A Family of It© Process Models for the Term Structure
of Interest Rates 253
Simon Babbs
17 State Space Models of the Term Structure of Interest Rates 273
Darrell Duffie
18 Changes of Numeraire, Changes of Probability Measures
and Pricing of Options 291
Helyette Geman, Nicole El Karoui and Jean Charles Rochet
19 The Market Model of Interest Rate Dynamics 305
Alan Brace, Dariusz Gatarek and Marek Musiela
20 Fitting Potential Models to Interest Rate and
Foreign Exchange Data 327
Chris Rogers and Omar Zane
21 Positive Interest 343
Bjorn Flesakerand Lane Hughston
22 Positive Interest: Foreign Exchange 351
Bjorn Flesaker and Lane Hughston
Index 368
|
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| id | DE-604.BV011256833 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T18:06:40Z |
| institution | BVB |
| isbn | 1899332553 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007556826 |
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| physical | XXXII, 371 S. |
| publishDate | 1996 |
| publishDateSearch | 1996 |
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| publisher | Risk Publ. |
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| spelling | Vasicek and beyond approaches to building and applying interest rate models ed. by Lane Hughston London Risk Publ. 1996 XXXII, 371 S. txt rdacontent n rdamedia nc rdacarrier To appear in: Vasicek and beyond: approaches to building and applying interest trate models (Risk publications) 1966 Econometrische modellen gtt Finances - Modèles mathématiques ram Instruments financiers - Mathématiques ram Options (finances) - Modèles mathématiques ram Options (finances) ram Rente gtt Taux d'intérêt ram Taux d'intŕêts - Modèles mathémathiques ram Taxa de juros (modelos matemáticos) larpcal finance inriac modélisation financière inriac mouvement brownien inriac processus stochastique inriac risque inriac taux intérêt inriac équation différentielle stochastique inriac évaluation option inriac Mathematisches Modell Interest rates Mathematical models Zinsfuß (DE-588)4190927-6 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Zinsfuß (DE-588)4190927-6 s DE-604 Hughston, Lane P. 1951- Sonstige (DE-588)123580595 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007556826&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Vasicek and beyond approaches to building and applying interest rate models Econometrische modellen gtt Finances - Modèles mathématiques ram Instruments financiers - Mathématiques ram Options (finances) - Modèles mathématiques ram Options (finances) ram Rente gtt Taux d'intérêt ram Taux d'intŕêts - Modèles mathémathiques ram Taxa de juros (modelos matemáticos) larpcal finance inriac modélisation financière inriac mouvement brownien inriac processus stochastique inriac risque inriac taux intérêt inriac équation différentielle stochastique inriac évaluation option inriac Mathematisches Modell Interest rates Mathematical models Zinsfuß (DE-588)4190927-6 gnd |
| subject_GND | (DE-588)4190927-6 (DE-588)4143413-4 |
| title | Vasicek and beyond approaches to building and applying interest rate models |
| title_auth | Vasicek and beyond approaches to building and applying interest rate models |
| title_exact_search | Vasicek and beyond approaches to building and applying interest rate models |
| title_full | Vasicek and beyond approaches to building and applying interest rate models ed. by Lane Hughston |
| title_fullStr | Vasicek and beyond approaches to building and applying interest rate models ed. by Lane Hughston |
| title_full_unstemmed | Vasicek and beyond approaches to building and applying interest rate models ed. by Lane Hughston |
| title_short | Vasicek and beyond |
| title_sort | vasicek and beyond approaches to building and applying interest rate models |
| title_sub | approaches to building and applying interest rate models |
| topic | Econometrische modellen gtt Finances - Modèles mathématiques ram Instruments financiers - Mathématiques ram Options (finances) - Modèles mathématiques ram Options (finances) ram Rente gtt Taux d'intérêt ram Taux d'intŕêts - Modèles mathémathiques ram Taxa de juros (modelos matemáticos) larpcal finance inriac modélisation financière inriac mouvement brownien inriac processus stochastique inriac risque inriac taux intérêt inriac équation différentielle stochastique inriac évaluation option inriac Mathematisches Modell Interest rates Mathematical models Zinsfuß (DE-588)4190927-6 gnd |
| topic_facet | Econometrische modellen Finances - Modèles mathématiques Instruments financiers - Mathématiques Options (finances) - Modèles mathématiques Options (finances) Rente Taux d'intérêt Taux d'intŕêts - Modèles mathémathiques Taxa de juros (modelos matemáticos) finance modélisation financière mouvement brownien processus stochastique risque taux intérêt équation différentielle stochastique évaluation option Mathematisches Modell Interest rates Mathematical models Zinsfuß Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007556826&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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