Modeling the Term Structure of Interest Rates: A Review of the Literature by Raj

Description: Modeling the Term Structure of Interest Rates by Rajna Gibson, Denis Talay, Francois-Serge Lhabitant Provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives. The originality of the survey lies in the fact that it provides a framework in which continuous-time term structure models can be nested and related to each other. FORMAT Paperback LANGUAGE English CONDITION Brand New Publisher Description Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.The aim of this survey is to provide a comprehensive review of these continuous time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives. The originality of the survey lies in the fact that it provides a unifying framework in which most continuous-time term structure models can be nested and thus related to each other. Thus, it presents the most important continuous-time term structure models in the literature but also provide a mathematically rigorous and unifying setting in which these models can be compared in terms of their similarities, distinguished in terms of their idiosyncratic features and in which their main contributions and limitations can easily be highlighted. Table of Contents 1. Introduction. 2. Term Structure Models Taxonomy. 3. Our Mathematical Framework. 4. Economic Theories of the Term Structure of Interest Rates. 5. Short Term Rate Models. 6. Univariate and Multivariate HJM models. 7. Libor/Market Models. 8. Empirical Evidence on Term Structure Models. 9. Model misspecification in term structure modeling. 10. Simulation of Interest Rate Models. 11. Conclusion. 12. Appendices. 13. References Details ISBN1601983727 Author Francois-Serge Lhabitant Pages 172 Year 2010 ISBN-10 1601983727 ISBN-13 9781601983725 Format Paperback Short Title MODELING THE TERM STRUCTURE OF Language English Media Book DEWEY 332.8 Imprint now publishers Inc Subtitle A Review of the Literature DOI 10.1561/0500000032 Place of Publication Hanover Country of Publication United States Publication Date 2010-12-16 AU Release Date 2010-12-16 NZ Release Date 2010-12-16 US Release Date 2010-12-16 UK Release Date 2010-12-16 Publisher now publishers Inc Series Foundations and Trends® in Finance Alternative 9781601983732 Audience Professional & Vocational We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:161893728;

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