Stochastic interest rates:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge Univ. Press
2015
|
| Schriftenreihe: | Mastering Mathematical Finance
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | X, 160 S. graph. Darst. |
| ISBN: | 9781107002579 9780521175692 |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | Contents
Preface page ix
1 Fixed-income instruments 1
1.1 Interest rates and bonds 2
1.2 Forward rate agreements 5
1.3 Forward interest rates and forward bond price 7
1.4 Money market account 10
1.5 Coupon-bearing bonds 10
1.6 Interest rate swaps 11
1.7 Yield curve construction 14
2 Vanilla interest rate options and forward measure 22
2.1 Change of numeraire 23
2.2 Forward measure 25
2.3 Forward contract 27
2.4 Martingales under the forward measure 28
2.5 FRAs and interest rate swaps: the forward measure 29
2.6 Option pricing in the forward measure 29
2.7 Caps and floors 33
2.8 Swaptions 35
2.9 Implied Black volatility 37
3 Short-rate models 41
3.1 General properties 42
3.2 Popular short-rate models 43
3.3 Merton model 44
3.4 Vasicek model 45
3.5 Hull-White model 50
3.6 Bermudan swaptions in the Hull-White model 58
3.7 Two-factor Hull—White model 62
4 Models of the forward rate 67
4.1 One-factor HIM models 68
4.2 Gaussian models 71
4.3 Calibration 77
4.4 Multi-factor HJM models 77
4.5 Forward rate under the forward measure 80
vii
82
83
85
86
90
90
93
97
100
105
106
107
109
112
113
118
121
124
128
129
132
133
137
139
142
143
144
146
147
150
153
159
Contents
LIBOR and swap market models
5.1 LIBOR market model
5.2 Black’s caplet formula
5.3 Drifts and change of numeraire
5.4 Terminal measure
5.5 Spot LIBOR measure
5.6 Brace-G^tarek-Musiela approach
5.7 Instantaneous volatility
5.8 Instantaneous correlation
5.9 Swap market model
5.10 Black’s formula for swaptions
5.11 LMM versus SMM
5.12 LMM approximation for swaption volatility
Implementation and calibration of the LMM
6.1 Rank reduction
6.2 Monte Carlo simulation
6.3 Calibration
6.4 Numerical example
Valuing interest rate derivatives
7.1 LIBOR-in-arrears
7.2 In-arrears swap
7.3 Constant-maturity swaps
7.4 Ratchet floater
7.5 Range accruals
7.6 Trigger swap
Volatility smile
8.1 Black’s formula revisited
8.2 Normal model
8.3 CEV process
8.4 Displaced-diffusion process
8.5 Stochastic volatility
Index
|
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| isbn | 9781107002579 9780521175692 |
| language | English |
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| series2 | Mastering Mathematical Finance |
| spelling | McInerney, Daragh Verfasser aut Stochastic interest rates Daragh McInerney ; Tomasz Zastawniak Cambridge Cambridge Univ. Press 2015 X, 160 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mastering Mathematical Finance Interest rates / Mathematical models Stochastic analysis Mathematisches Modell Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Zins (DE-588)4067845-3 gnd rswk-swf Zins (DE-588)4067845-3 s Stochastisches Modell (DE-588)4057633-4 s b DE-604 Zastawniak, Tomasz 1959- Verfasser (DE-588)120071231 aut Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028153701&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| subject_GND | (DE-588)4057633-4 (DE-588)4067845-3 |
| title | Stochastic interest rates |
| title_auth | Stochastic interest rates |
| title_exact_search | Stochastic interest rates |
| title_full | Stochastic interest rates Daragh McInerney ; Tomasz Zastawniak |
| title_fullStr | Stochastic interest rates Daragh McInerney ; Tomasz Zastawniak |
| title_full_unstemmed | Stochastic interest rates Daragh McInerney ; Tomasz Zastawniak |
| title_short | Stochastic interest rates |
| title_sort | stochastic interest rates |
| topic | Interest rates / Mathematical models Stochastic analysis Mathematisches Modell Stochastisches Modell (DE-588)4057633-4 gnd Zins (DE-588)4067845-3 gnd |
| topic_facet | Interest rates / Mathematical models Stochastic analysis Mathematisches Modell Stochastisches Modell Zins |
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