Modeling interest rates, foreign exchange rates, and stock prices: an integrated approach to modeling, valuation, and financial risk management
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Capelle a/d IJssel
Labyrinth Publ.
2000
|
| Series: | Theses on systems, organization and management
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 218 S. |
| ISBN: | 9072591763 |
Staff View
MARC
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| 245 | 1 | 0 | |a Modeling interest rates, foreign exchange rates, and stock prices |b an integrated approach to modeling, valuation, and financial risk management |c Yong Yao |
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| adam_text | Contents
1 General Introduction
1.1 Introduction
1.2 Dimensions of Interest Rates
1.2.1 United States Treasury Securities
1.2.2 U.S. Treasury Rates: A Historical Perspective
1.3 Financial Risks and Their Management
1.3.1 Interest Rate Risk
1.3.2 Asset/Liability Management
1.3.3 Financial Derivatives
1.4 Research Topics and Methodologies
1.4.1 Research Topics Discussed in the Thesis
1.4.2 Nuclear Financial Economics
1.4.3 Selection of Models
1.5 Outline of the Thesis
2 The Term Structure of Interest Rates and state price density
2.1 Introduction
2.2 The Term Structure of Interest Rates
2.2.1 The Discount Factor
2.2.2 Dynamics of the Term Structure of Interest Rates
2.2.3 The Dynamic Interest Rate Model
2.3 State price density
2.3.1 A Dynamic Asset Pricing Model
2.3.2 Asset Pricing Theory
2.3.3 State price density and the Term Structure of Interest
Rates
2.3.4 Martingale Pricing Equation
2.3.5 State price density and the Foreign Exchange Rate
2.4 Alternative Representations of the Linear Pricing Rule
2.4.1 Changes of Measure
2.4.2 The Risk Neutral Representation
2.4.3 The Certainty Equivalent Representation
2.5 The Risk Premium and the Fundamental Partial Differential
Equation of Asset Pricing
2.5.1 Ito s Lemma
2.5.2 The Risk Premium
2.5.3 Partial Differential Equation for state price density
2.5.4 The Fundamental Partial Differential Equation of Asset
Pricing
2.6 Functional Forms for state price density: Examples
2.6.1 The Black Scholes Model
2.6.2 The Vasicek Model
2.6.3 The Cox Ingersoll Ross Model
2.7 Summary
3 Term Structure Models in the Risk Neutral Framework
3.1 Introduction
3.2 The Factor Model and the Heath Jarrow Morton Model
3.2.1 The Risk Neutrality Methodology
3.2.2 The Factor Model
3.2.3 The Heath Jarrow Morton Model
3.2.4 The Factor Model and the Heath Jarrow Morton Model
3.3 Implied Factor Models
3.4 An Implied Factor Model which is a Special Case of the Heath
Jarrow Morton Model
3.5 An Implied Factor Model with Short and Long Rates as Two
Factors
3.6 Generalization: Implied Factor Model with Stochastic Volatility
3.7 Summary
4 Multi Country Term Structure Models
4.1 Introduction
4.2 Two Country Term Structure of Interest Rates: One Factor
Models
4.2.1 The Two Country Vasicek Model
4.2.2 The Two Country Cox Ingersoll Ross Model
4.2.3 The Two Country Contantanides Model
4.2.4 A New One Factor Model
4.3 Two Country Term Structure of Interest Rates: Two Factor
Models
4.3.1 The Longstaff and Schwartz Model and the Duffie and
Kan Model
4.3.2 Two Alternative Two Factor Models
4.4 Two Country Term Structure of Interest Rates: the General
Case
4.5 Summary
Appendix: Moment Generating Function
5 Pricing Interest Rate and Foreign Exchange Rate Claims
5.1 Introduction
5.2 Pricing Interest Rate and Foreign Exchange Rate Claims in the
Gaussian Framework
5.2.1 Futures and Swaps
5.2.2 European Options
5.3 Pricing Interest Rate and Foreign Exchange Rate Claims in the
Non Central Chi Squared Framework
5.4 Summary
Appendix: Changes of Measure
6 Pricing Stock, Interest Rate and Foreign Exchange Rate Claims:
An Integrated Model
6.1 Introduction
6.2 Reformulating the Black Scholes Model
6.2.1. The Black Scholes Model
6.2.2. Changes of Measure
6.2.3. Calculation of Probabilities
6.2.4. An Alternative Representation of the Black Scholes
Formula
6.3 An Integrated Model
6.3.1 The Domestic Market
6.3.2 The Foreign Market
6.4 Pricing Stock Options with Stochastic Interest Rates and
Stochastic Volatility
6.5 Pricing Foreign Equity Options
6.6 Summary
7 Term Structure Models: A Perspective from the Long Rate
7.1 Introduction
7.2 The Asymptotic Behavior of Yields in an Arbitrage Free
Economy
7.2.1 An Upper Bound for Yields on Default Free Zero
Coupon Bonds
7.2.2 The Yield Curve Should Level out as Term to Maturity
Increases
7.2.3 The Longer the Maturity is, the Less Volatile the Yield
is
7.2.4 The Long Rate Should Be Deterministic in Factor
Models: The Non Singular Volatility Matrix Case
7.3 The Asymptotic Behavior of Yields in Known Term Structure
Models
7.3.1 Mean Reversion of the Short Rate and a Bound for
Yields
7.3.2 Yields in the Black, Derman and Toy Model
7.3.3 The Long Rate in the Duffie and Kan Affine Models
7.3.4 The Long Rate in the Heath, Jarrow and Morton Model:
Examples
7.4 The Asymptotic Long Rate and state price density
7.5 A Generalization
7.5.1 A General Representation of the Asymptotic Long Rate
7.5.2 The Asymptotic Long Rate in Whole Yield Curve
Models
7.5.3 The Asymptotic Long Rate in Factor Models
7.6 Summary
8 Summary and Future Research
8.1 Summary
8.2 Future Research
Bibliography
Summary in Dutch
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| discipline | Wirtschaftswissenschaften |
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| indexdate | 2024-07-09T18:53:37Z |
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| series2 | Theses on systems, organization and management |
| spelling | Yao, Yong Verfasser aut Modeling interest rates, foreign exchange rates, and stock prices an integrated approach to modeling, valuation, and financial risk management Yong Yao Capelle a/d IJssel Labyrinth Publ. 2000 218 S. txt rdacontent n rdamedia nc rdacarrier Theses on systems, organization and management Groningen, Univ., Diss., 2000 Aandelen gtt Rente gtt Risk management gtt Wisselkoersen gtt Mathematisches Modell Wirtschaft Economics Mathematical models Wechselkurs (DE-588)4064921-0 gnd rswk-swf Aktienkurs (DE-588)4141736-7 gnd rswk-swf Zins (DE-588)4067845-3 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Wechselkurs (DE-588)4064921-0 s Zins (DE-588)4067845-3 s Aktienkurs (DE-588)4141736-7 s Mathematisches Modell (DE-588)4114528-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009492958&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Yao, Yong Modeling interest rates, foreign exchange rates, and stock prices an integrated approach to modeling, valuation, and financial risk management Aandelen gtt Rente gtt Risk management gtt Wisselkoersen gtt Mathematisches Modell Wirtschaft Economics Mathematical models Wechselkurs (DE-588)4064921-0 gnd Aktienkurs (DE-588)4141736-7 gnd Zins (DE-588)4067845-3 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4064921-0 (DE-588)4141736-7 (DE-588)4067845-3 (DE-588)4114528-8 (DE-588)4113937-9 |
| title | Modeling interest rates, foreign exchange rates, and stock prices an integrated approach to modeling, valuation, and financial risk management |
| title_auth | Modeling interest rates, foreign exchange rates, and stock prices an integrated approach to modeling, valuation, and financial risk management |
| title_exact_search | Modeling interest rates, foreign exchange rates, and stock prices an integrated approach to modeling, valuation, and financial risk management |
| title_full | Modeling interest rates, foreign exchange rates, and stock prices an integrated approach to modeling, valuation, and financial risk management Yong Yao |
| title_fullStr | Modeling interest rates, foreign exchange rates, and stock prices an integrated approach to modeling, valuation, and financial risk management Yong Yao |
| title_full_unstemmed | Modeling interest rates, foreign exchange rates, and stock prices an integrated approach to modeling, valuation, and financial risk management Yong Yao |
| title_short | Modeling interest rates, foreign exchange rates, and stock prices |
| title_sort | modeling interest rates foreign exchange rates and stock prices an integrated approach to modeling valuation and financial risk management |
| title_sub | an integrated approach to modeling, valuation, and financial risk management |
| topic | Aandelen gtt Rente gtt Risk management gtt Wisselkoersen gtt Mathematisches Modell Wirtschaft Economics Mathematical models Wechselkurs (DE-588)4064921-0 gnd Aktienkurs (DE-588)4141736-7 gnd Zins (DE-588)4067845-3 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Aandelen Rente Risk management Wisselkoersen Mathematisches Modell Wirtschaft Economics Mathematical models Wechselkurs Aktienkurs Zins Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009492958&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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