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Building and Using Dynamic Interest Rate Models

ISBN: 978-0-471-49595-6
236 pages
November 2001
Building and Using Dynamic Interest Rate Models (0471495956) cover image

Description

This book offers a new approach to interest rate and modeling term structure by using
models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical
simulations. It includes software that will enable readers to simulate the various models covered in the book.
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Table of Contents

Preface.

Acknowledgments.

On the Conventional and Pure Multi-Period Loan Structure.

Differential System Models for Asset Prices Under Uncertainty.

Constant Maturity, One-Factor Dynamic Models for Term Structure Estimations.

Constant Maturity, Bilevel Models for Term Structure Estimation.

Numerical Experiements with One-Factor and Bilevel Models for Extended Periods of Observations.

Modeling Nonarbitrage and Market Price of Risk in Linear Differential Systems.

Characteristics of Moments in Linear Dynamical Systems Under Uncertainty with Perturbations.

Backtesting with Treasury Auction Data.

A Forward Rates-Based Dynamical System Model.

A General Integro-Differential Term Structure Model.

Applications to Pricing Futures Fairly and Trading Futures Contracts.

Using Term Structure Estimation in Dynamic Interest Rate Models and Hedging Strategies.

A Review of Semi-Infinite Optimization with a Focus on Finance.

Software Documentation of the Term Structure, Constant Maturity Models.

Software Documentation of the Forward Rate Model

References.

Index.
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Author Information

KENNETH (KEN) O. KORTANEK is a John F. Murray Research Professor of Management Sciences at the University of Iowa, Henry B. Tippie College of Business. His academic career includes obtaining tenure at Cornell University's Department of Industrial Engineering and Operations Research in 1968, and a 10 year professorship in Carnegie Mellon University's Mathematics Department. Since 1962 he has published over 130 articles, a book, and several edited volumes on optimization, many of them financially supported by the U.S. National Science Foundation. He regularly acts as a consultant for large corporations.

VLADIMIR G. MEDVEDEV is a mathematician at OmniCADD, Inc. in Milwaukee, Wisconsin. During the last 10 years he was an Associate Professor in the Optimal Control Methods Department of the Belarussian State University. He holds a Ph.D. in the Physical-Mathematical Sciences from the Belarussian Academy of Sciences. In 1995 he received the Best Paper Award from the Belarussian Soros Foundation for a paper underlying his thesis. He was a Postdoctoral Associate in the Department of Management Sciences at the University of Iowa for the year 1997-1998.
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