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Economics: Current and Future Developments, Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk

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Title: Economics: Current and Future Developments, Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk
Description: Interest Rate Modeling for Risk Management introduces a theoretical framework - the ‘real-world'model - that allows us to estimate the market price of interest rate risk based on practical and real life situations. The model can be briefly summarized as a process of estimating the market prices of risk through discretization of forward rates with a ‘space-state setup'whilst considering historical data trends. The book starts with a brief explanation of interest rate stochastic analysis fundamentals before delving into standard models such as Heath-Jarrow-Morton, Hull-White and LIBOR models. The real-world model is then explained in subsequent chapters while applying different frameworks. Additionally, the book also explains some properties of the real-world model, along with the negative price tendency of the market price for risk and a positive market price for risk (with an example of this actually occurring). Readers will also find a handy appendix with proofs to complement the numerical methods explained in the book. This book is intended as a primer for practitioners in financial institutions involved in interest rate risk management. It also presents a new perspective for researchers and graduates in econometrics and finance on the study of interest rate models.
Authors: Takashi Yasuoka
Resource Type: eBook.
Subjects: Financial risk management--Mathematical models, Interest rate risk--Mathematical models
Categories: BUSINESS & ECONOMICS / Finance / General
Database: eBook Collection (EBSCOhost)
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  – Type: ebook-pdf
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  Availability: 0
Header DbId: nlebk
DbLabel: eBook Collection (EBSCOhost)
An: 1092231
RelevancyScore: 1064
AccessLevel: 6
PubType: eBook
PubTypeId: ebook
PreciseRelevancyScore: 1063.91076660156
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  Data: Economics: Current and Future Developments, Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk
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  Data: Interest Rate Modeling for Risk Management introduces a theoretical framework - the ‘real-world'model - that allows us to estimate the market price of interest rate risk based on practical and real life situations. The model can be briefly summarized as a process of estimating the market prices of risk through discretization of forward rates with a ‘space-state setup'whilst considering historical data trends. The book starts with a brief explanation of interest rate stochastic analysis fundamentals before delving into standard models such as Heath-Jarrow-Morton, Hull-White and LIBOR models. The real-world model is then explained in subsequent chapters while applying different frameworks. Additionally, the book also explains some properties of the real-world model, along with the negative price tendency of the market price for risk and a positive market price for risk (with an example of this actually occurring). Readers will also find a handy appendix with proofs to complement the numerical methods explained in the book. This book is intended as a primer for practitioners in financial institutions involved in interest rate risk management. It also presents a new perspective for researchers and graduates in econometrics and finance on the study of interest rate models.
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RecordInfo BibRecord:
  BibEntity:
    Classifications:
      – Code: 332.6323
        Scheme: ddc
        Type: prePub
    Languages:
      – Code: eng
        Text: English
    Subjects:
      – SubjectFull: Financial risk management--Mathematical models
        Type: general
      – SubjectFull: Interest rate risk--Mathematical models
        Type: general
    Titles:
      – TitleFull: Economics: Current and Future Developments, Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk
        Type: main
  BibRelationships:
    HasContributorRelationships:
      – PersonEntity:
          Name:
            NameFull: Takashi Yasuoka
      – PersonEntity:
          Name:
            NameFull: Takashi Yasuoka
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      – BibEntity:
          Dates:
            – D: 01
              M: 01
              Type: published
              Y: 2015
            – D: 26
              M: 01
              Type: profile
              Y: 2018
          Identifiers:
            – Type: isbn-print
              Value: 9781681081274
            – Type: isbn-electronic
              Value: 9781681081267
          Numbering:
            – Type: volume
              Value: 00001
          Titles:
            – TitleFull: Economics: Current and Future Developments, Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk
              Type: main
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