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Building and Using Dynamic Interest Rate Models

Building and Using Dynamic Interest Rate Models

Ken O. Kortanek , Vladimir G. Medvedev

ISBN: 978-0-471-49595-6

Nov 2001

236 pages

Select type: Hardcover

Out of stock

$155.00

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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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.