Interest Rate Dynamics, Derivatives Pricing, and Risk Management:
There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives pricing fonnulas based on each type of model of the tenn structure. The no-arbitrage models are characterized by...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1996
|
| Ausgabe: | 1st ed. 1996 |
| Schriftenreihe: | Lecture Notes in Economics and Mathematical Systems
435 |
| Schlagworte: | |
| Online-Zugang: | BTU01 URL des Erstveröffentlichers |
| Zusammenfassung: | There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives pricing fonnulas based on each type of model of the tenn structure. The no-arbitrage models are characterized by the work of Ho and Lee (1986), Heath, Jarrow, and Morton (1992), Hull and White (1990 and 1993), and Black, Dennan and Toy (1990). Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest rates. There are a number of disadvantages with their model. First, the model describes the whole volatility structure by a sin gle parameter, implying a number of unrealistic features. Furthennore, the model does not incorporate mean reversion. Black-Dennan-Toy (1990) develop a model along tbe lines of Ho and Lee. They eliminate some of the problems of Ho and Lee (1986) but create a new one: for a certain specification of the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuous models of the term struc ture consistent with the initial tenn structure data |
| Beschreibung: | 1 Online-Ressource (XII, 152 p) |
| ISBN: | 9783642468254 |
| DOI: | 10.1007/978-3-642-46825-4 |
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| 520 | |a There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives pricing fonnulas based on each type of model of the tenn structure. The no-arbitrage models are characterized by the work of Ho and Lee (1986), Heath, Jarrow, and Morton (1992), Hull and White (1990 and 1993), and Black, Dennan and Toy (1990). Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest rates. There are a number of disadvantages with their model. First, the model describes the whole volatility structure by a sin gle parameter, implying a number of unrealistic features. Furthennore, the model does not incorporate mean reversion. Black-Dennan-Toy (1990) develop a model along tbe lines of Ho and Lee. They eliminate some of the problems of Ho and Lee (1986) but create a new one: for a certain specification of the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuous models of the term struc ture consistent with the initial tenn structure data | ||
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Datensatz im Suchindex
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| author | Chen, Lin |
| author_facet | Chen, Lin |
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| building | Verbundindex |
| bvnumber | BV046871929 |
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| discipline | Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1007/978-3-642-46825-4 |
| edition | 1st ed. 1996 |
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| spelling | Chen, Lin Verfasser aut Interest Rate Dynamics, Derivatives Pricing, and Risk Management by Lin Chen 1st ed. 1996 Berlin, Heidelberg Springer Berlin Heidelberg 1996 1 Online-Ressource (XII, 152 p) txt rdacontent c rdamedia cr rdacarrier Lecture Notes in Economics and Mathematical Systems 435 There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives pricing fonnulas based on each type of model of the tenn structure. The no-arbitrage models are characterized by the work of Ho and Lee (1986), Heath, Jarrow, and Morton (1992), Hull and White (1990 and 1993), and Black, Dennan and Toy (1990). Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest rates. There are a number of disadvantages with their model. First, the model describes the whole volatility structure by a sin gle parameter, implying a number of unrealistic features. Furthennore, the model does not incorporate mean reversion. Black-Dennan-Toy (1990) develop a model along tbe lines of Ho and Lee. They eliminate some of the problems of Ho and Lee (1986) but create a new one: for a certain specification of the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuous models of the term struc ture consistent with the initial tenn structure data Finance, general Economics, general Finance Economics Management science Preisbildung (DE-588)4047103-2 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Zinsänderung (DE-588)4117718-6 gnd rswk-swf Zinsänderungsrisiko (DE-588)4067851-9 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Derivat Wertpapier (DE-588)4381572-8 s Zinsänderungsrisiko (DE-588)4067851-9 s Risikomanagement (DE-588)4121590-4 s Zinsstrukturtheorie (DE-588)4117720-4 s DE-604 Zinsänderung (DE-588)4117718-6 s Preisbildung (DE-588)4047103-2 s Erscheint auch als Druck-Ausgabe 9783540608141 Erscheint auch als Druck-Ausgabe 9783642468261 https://doi.org/10.1007/978-3-642-46825-4 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Chen, Lin Interest Rate Dynamics, Derivatives Pricing, and Risk Management Finance, general Economics, general Finance Economics Management science Preisbildung (DE-588)4047103-2 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Zinsänderung (DE-588)4117718-6 gnd Zinsänderungsrisiko (DE-588)4067851-9 gnd Risikomanagement (DE-588)4121590-4 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd |
| subject_GND | (DE-588)4047103-2 (DE-588)4381572-8 (DE-588)4117718-6 (DE-588)4067851-9 (DE-588)4121590-4 (DE-588)4117720-4 (DE-588)4113937-9 |
| title | Interest Rate Dynamics, Derivatives Pricing, and Risk Management |
| title_auth | Interest Rate Dynamics, Derivatives Pricing, and Risk Management |
| title_exact_search | Interest Rate Dynamics, Derivatives Pricing, and Risk Management |
| title_exact_search_txtP | Interest Rate Dynamics, Derivatives Pricing, and Risk Management |
| title_full | Interest Rate Dynamics, Derivatives Pricing, and Risk Management by Lin Chen |
| title_fullStr | Interest Rate Dynamics, Derivatives Pricing, and Risk Management by Lin Chen |
| title_full_unstemmed | Interest Rate Dynamics, Derivatives Pricing, and Risk Management by Lin Chen |
| title_short | Interest Rate Dynamics, Derivatives Pricing, and Risk Management |
| title_sort | interest rate dynamics derivatives pricing and risk management |
| topic | Finance, general Economics, general Finance Economics Management science Preisbildung (DE-588)4047103-2 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Zinsänderung (DE-588)4117718-6 gnd Zinsänderungsrisiko (DE-588)4067851-9 gnd Risikomanagement (DE-588)4121590-4 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd |
| topic_facet | Finance, general Economics, general Finance Economics Management science Preisbildung Derivat Wertpapier Zinsänderung Zinsänderungsrisiko Risikomanagement Zinsstrukturtheorie Hochschulschrift |
| url | https://doi.org/10.1007/978-3-642-46825-4 |
| work_keys_str_mv | AT chenlin interestratedynamicsderivativespricingandriskmanagement |