Economics: Current and Future Developments, Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk
Saved in:
| 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) |
| Abstract: | 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. |
|---|---|
| ISBN: | 9781681081274 9781681081267 |
