The New Interest Rate Models : Recent Developments in the theory and Application of Yield Curve Dynamics L.P. Hughston

ISBN: 9781899332977

Published: November 2000

Hardcover

350 pages


Description

The New Interest Rate Models : Recent Developments in the theory and Application of Yield Curve Dynamics  by  L.P. Hughston

The New Interest Rate Models : Recent Developments in the theory and Application of Yield Curve Dynamics by L.P. Hughston
November 2000 | Hardcover | PDF, EPUB, FB2, DjVu, audiobook, mp3, ZIP | 350 pages | ISBN: 9781899332977 | 6.69 Mb

A comprehensive collection that looks at the development of interest-rate models from 1992 to present. *Covers interest-rate analysis in the light of increased computer power*Investigates simulation processes, ie random walks and Monte CarloMoreA comprehensive collection that looks at the development of interest-rate models from 1992 to present. *Covers interest-rate analysis in the light of increased computer power*Investigates simulation processes, ie random walks and Monte Carlo simulation*Details the development of three new interest-rate model types including the Markov decision process, extensions and generalisations to the Heath-Jarrow-Morton model and market models*Makes accessible advanced models that enable modellers to complete the market more efficiently when calculating interest rate securities and options portfolios*Analysis of Heath-Jarrow-Morton extensions



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