Verfügbarkeit: Interest rate management

Interest rate management:

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Bibliographische Detailangaben
1. Verfasser:	Zagst, Rudi 1961- (VerfasserIn)
Format:	Abschlussarbeit Buch
Sprache:	English
Veröffentlicht:	Berlin [u.a.] Springer 2002
Schriftenreihe:	Springer finance
Schlagworte:	Administração de risco Finanças (modelos matemáticos) Gestion des risques Instrument dérivé (Finances) Marché financier Matemática aplicada Mathematische programmering Mathématique financière Modèle mathématique Optimaliseren Portfolio-analyse Rente Risk management Risque de taux Stochastische analyse Taux d'intérêt - Modèles mathématiques Taux d'intérêt Taxa de juros Mathematisches Modell Interest rates > Mathematical models Derivat > Wertpapier Stochastischer Prozess Risikomanagement Zinsoption Management Zinsänderungsrisiko Zins Kreditmarkt Zinsstrukturtheorie Hochschulschrift
Online-Zugang:	Inhaltsverzeichnis
Beschreibung:	XV, 341 S. graph. Darst.
ISBN:	3540675949

Internformat

MARC


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Datensatz im Suchindex

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adam_text	Contents Preface vii 1 Introduction 1 1 Mathematical Finance Background 2 Stochastic Processes and Martingales 9 2.1 Stochastic Processes 10 2.2 Stopped Stochastic Processes 20 2.3 Stochastic Integrals 23 2.4 ltd Calculus 27 2.5 Martingale Representation 31 2.6 The Feynman Kac Representation 35 3 Financial Markets 43 3.1 The Financial Market Model 44 3.2 Absence of Arbitrage 55 3.3 Market Completeness 62 3.4 Pricing and Hedging Contingent Claims 69 3.5 The Generalized Black Scholes Model 77 3.6 Change of Numeraire 87 3.7 The T Forward Measure 90 xiv Contents II Modelling and Pricing in Interest Rate Markets 4 Interest Rate Markets 95 4.1 The Interest Rate Market Model 96 4.2 No Arbitrage and Completeness 101 4.3 Pricing Contingent Claims 107 4.4 The Heath Jarrow Morton Framework 109 4.4.1 The Heath Jarrow Morton Model 109 4.4.2 No Arbitrage and Completeness within the HJM Modell 14 4.4.3 The HJM Arbitrage free Price System 117 4.4.4 Forward Measures within the HJM Model 118 4.5 One Factor Models 123 4.5.1 Short Rate Models 123 4.5.2 One Factor Gaussian Models 127 4.5.3 The Hull White Model 134 4.6 Multi Factor Models 142 4.7 LIBOR Market Models 143 4.7.1 The Discrete Tenor Model 145 4.7.2 The Continuous Tenor Model 149 4.8 Credit Risk Models 155 5 Interest Rate Derivatives 157 5.1 Daycount Conventions 158 5.2 Coupon Bonds 159 5.3 Forward Agreements on Coupon Bonds 162 5.4 Interest Rate Futures 165 5.4.1 Short Term Interest Rate Futures 166 5.4.2 Coupon Bond Futures 176 5.5 Interest Rate Swaps 181 5.5.1 Floating Leg and Floating Rate Notes 182 5.5.2 Fixed Leg 184 5.5.3 Pricing Interest Rate Swaps 186 5.5.4 The Bootstrap Method 188 5.5.5 Other Interest Rate Swaps 190 5.6 Interest Rate Options 191 5.6.1 Zero Coupon Bond Options 191 5.6.2 Caps and Floors 194 5.6.3 Coupon Bond Options 196 5.6.4 Swaptions 201 5.7 Interest Rate Exotics 203 5.7.1 Digital Options 204 5.7.2 Dual Strike Caps and Floors 208 5.7.3 Contingent Premium Options 209 Contents xv 5.7.4 Other Path Independent Options 210 5.7.5 Path Dependent Options 211 5.8 Market Information 212 5.8.1 Term Structure 213 5.8.2 Pricing Interest Rate Options with Black s Model. . 214 5.8.3 Black Prices and Volatilities 216 5.8.4 Estimation of the Hull White Model Parameters . . 224 III Measuring and Managing Interest Rate Risk 6 Risk Measures 227 6.1 Sensitivity Measures 229 6.1.1 First and Second Order Sensitivity Measures .... 229 6.1.2 Black Deltas and Gammas 232 6.1.3 Duration and Convexity 237 6.1.4 Key Rate Deltas and Gammas 242 6.1.5 Other Sensitivity Measures 246 6.2 Downside Risk Measures 247 6.2.1 Lower Partial Moments 248 6.2.2 Value at Risk 251 6.3 Coherent Risk Measures 253 6.3.1 Characterization of Coherent Risk Measures 254 6.3.2 What About Value at Risk? 257 6.3.3 Worst and Tail Conditional Expectations 262 6.4 Reducing Dimensions 267 7 Risk Management 273 7.1 Sensitivity Based Risk Management 273 7.1.1 First and Second Order Hedging 274 7.1.2 Duration Based Hedging 277 7.1.3 Key Rate Delta and Gamma Hedging 283 7.2 Downside Risk Management 297 7.2.1 Risk Management Based on Lower Partial Moments 297 7.2.2 Risk Management Based on Value at Risk 309 8 Appendix 3^1 References 3^5 Index 333
any_adam_object	1
author	Zagst, Rudi 1961-
author_GND	(DE-588)113301057
author_facet	Zagst, Rudi 1961-
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author_sort	Zagst, Rudi 1961-
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building	Verbundindex
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callnumber-first	H - Social Science
callnumber-label	HB539
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callnumber-subject	HB - Economic Theory and Demography
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dewey-hundreds	300 - Social sciences
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dewey-search	332.8/2/015195 332.8/2/015195 21
dewey-sort	3332.8 12 515195
dewey-tens	330 - Economics
discipline	Mathematik Wirtschaftswissenschaften
format	Thesis Book
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genre	(DE-588)4113937-9 Hochschulschrift gnd-content
genre_facet	Hochschulschrift
id	DE-604.BV014256807
illustrated	Illustrated
indexdate	2024-07-09T19:00:31Z
institution	BVB
isbn	3540675949
language	English
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-009776832
oclc_num	49326927
open_access_boolean
owner	DE-473 DE-BY-UBG DE-19 DE-BY-UBM DE-355 DE-BY-UBR DE-824 DE-573 DE-91G DE-BY-TUM DE-703 DE-739 DE-1049 DE-M347 DE-12 DE-1102 DE-384 DE-945 DE-92 DE-521 DE-526 DE-634 DE-83 DE-11 DE-188
owner_facet	DE-473 DE-BY-UBG DE-19 DE-BY-UBM DE-355 DE-BY-UBR DE-824 DE-573 DE-91G DE-BY-TUM DE-703 DE-739 DE-1049 DE-M347 DE-12 DE-1102 DE-384 DE-945 DE-92 DE-521 DE-526 DE-634 DE-83 DE-11 DE-188
physical	XV, 341 S. graph. Darst.
publishDate	2002
publishDateSearch	2002
publishDateSort	2002
publisher	Springer
record_format	marc
series2	Springer finance
spelling	Zagst, Rudi 1961- Verfasser (DE-588)113301057 aut Interest rate management Rudi Zagst Interest-rate management Berlin [u.a.] Springer 2002 XV, 341 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Springer finance Zugl.: Ulm, Univ., Habil.-Schr., 1999 Administração de risco larpcal Finanças (modelos matemáticos) larpcal Gestion des risques rasuqam Instrument dérivé (Finances) rasuqam Marché financier rasuqam Matemática aplicada larpcal Mathematische programmering gtt Mathématique financière rasuqam Modèle mathématique rasuqam Optimaliseren gtt Portfolio-analyse gtt Rente gtt Risk management gtt Risque de taux rasuqam Stochastische analyse gtt Taux d'intérêt - Modèles mathématiques Taux d'intérêt rasuqam Taxa de juros larpcal Mathematisches Modell Interest rates -- Mathematical models Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Zinsoption (DE-588)4234822-5 gnd rswk-swf Management (DE-588)4037278-9 gnd rswk-swf Zinsänderungsrisiko (DE-588)4067851-9 gnd rswk-swf Zins (DE-588)4067845-3 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Zins (DE-588)4067845-3 s Management (DE-588)4037278-9 s Stochastischer Prozess (DE-588)4057630-9 s DE-604 Kreditmarkt (DE-588)4073788-3 s Zinsoption (DE-588)4234822-5 s Risikomanagement (DE-588)4121590-4 s DE-188 Derivat Wertpapier (DE-588)4381572-8 s Zinsstrukturtheorie (DE-588)4117720-4 s Zinsänderungsrisiko (DE-588)4067851-9 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009776832&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Zagst, Rudi 1961- Interest rate management Administração de risco larpcal Finanças (modelos matemáticos) larpcal Gestion des risques rasuqam Instrument dérivé (Finances) rasuqam Marché financier rasuqam Matemática aplicada larpcal Mathematische programmering gtt Mathématique financière rasuqam Modèle mathématique rasuqam Optimaliseren gtt Portfolio-analyse gtt Rente gtt Risk management gtt Risque de taux rasuqam Stochastische analyse gtt Taux d'intérêt - Modèles mathématiques Taux d'intérêt rasuqam Taxa de juros larpcal Mathematisches Modell Interest rates -- Mathematical models Derivat Wertpapier (DE-588)4381572-8 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Risikomanagement (DE-588)4121590-4 gnd Zinsoption (DE-588)4234822-5 gnd Management (DE-588)4037278-9 gnd Zinsänderungsrisiko (DE-588)4067851-9 gnd Zins (DE-588)4067845-3 gnd Kreditmarkt (DE-588)4073788-3 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd
subject_GND	(DE-588)4381572-8 (DE-588)4057630-9 (DE-588)4121590-4 (DE-588)4234822-5 (DE-588)4037278-9 (DE-588)4067851-9 (DE-588)4067845-3 (DE-588)4073788-3 (DE-588)4117720-4 (DE-588)4113937-9
title	Interest rate management
title_alt	Interest-rate management
title_auth	Interest rate management
title_exact_search	Interest rate management
title_full	Interest rate management Rudi Zagst
title_fullStr	Interest rate management Rudi Zagst
title_full_unstemmed	Interest rate management Rudi Zagst
title_short	Interest rate management
title_sort	interest rate management
topic	Administração de risco larpcal Finanças (modelos matemáticos) larpcal Gestion des risques rasuqam Instrument dérivé (Finances) rasuqam Marché financier rasuqam Matemática aplicada larpcal Mathematische programmering gtt Mathématique financière rasuqam Modèle mathématique rasuqam Optimaliseren gtt Portfolio-analyse gtt Rente gtt Risk management gtt Risque de taux rasuqam Stochastische analyse gtt Taux d'intérêt - Modèles mathématiques Taux d'intérêt rasuqam Taxa de juros larpcal Mathematisches Modell Interest rates -- Mathematical models Derivat Wertpapier (DE-588)4381572-8 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Risikomanagement (DE-588)4121590-4 gnd Zinsoption (DE-588)4234822-5 gnd Management (DE-588)4037278-9 gnd Zinsänderungsrisiko (DE-588)4067851-9 gnd Zins (DE-588)4067845-3 gnd Kreditmarkt (DE-588)4073788-3 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd
topic_facet	Administração de risco Finanças (modelos matemáticos) Gestion des risques Instrument dérivé (Finances) Marché financier Matemática aplicada Mathematische programmering Mathématique financière Modèle mathématique Optimaliseren Portfolio-analyse Rente Risk management Risque de taux Stochastische analyse Taux d'intérêt - Modèles mathématiques Taux d'intérêt Taxa de juros Mathematisches Modell Interest rates -- Mathematical models Derivat Wertpapier Stochastischer Prozess Risikomanagement Zinsoption Management Zinsänderungsrisiko Zins Kreditmarkt Zinsstrukturtheorie Hochschulschrift
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009776832&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT zagstrudi interestratemanagement

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