Interest Rate Modelling: 77 (Wiley Series in Financial Engineering) - Tapa dura

James, Jessica; Webber, Nick; James, Lloyd

 
9780471975236: Interest Rate Modelling: 77 (Wiley Series in Financial Engineering)
Tapa dura
ISBN 10: 0471975230 ISBN 13: 9780471975236
Editorial: John Wiley & Sons, 2000

Sinopsis

As interest rate markets continue to innovate and expand it is becoming increasingly important to remain up-to-date with the latest practical and theoretical developments. This book covers the latest developments in full, with descriptions and implementation techniques for all the major classes of interest rate models-both those actively used in practice as well as theoretical models still 'waiting in the wings'.

Interest rate models, implementation methods and estimation issues are discussed at length by the authors as are important new developments such as kernel estimation techniques, economic based models, implied pricing methods and models on manifolds.

Providing balanced coverage of both the practical use of models and the theory that underlies them, Interest Rate Modelling adopts an implementation orientation throughout, making it an ideal resource for both practitioners and researchers.

"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del autor

JESSICA JAMES is Head of Research for Bank One's Strategic Risk Management group, based in the UK. Jessica started life as a physicist at Manchester University and completed her DPhil in Theoretical Atomic and Nuclear Physics at Christ Church, Oxford, under Professor Sandars. After a year as a college lecturer at Trinity, Oxford, she began work at he First National Bank of Chicago, now Bank One, where she still works. She is well known as a speaker on the conference circuit, lecturing on a variety of topics such as VaR, capital allocation, credit derivatives and interest rate modelling, and ahs published articles on various aspects of financial modelling.

NICK WEBBER is a lecturer in Finance at Warwick Business School. Prior to his academic career, Nick has had extensive experience in the industrial and commercial world in operational research and computing. After obtaining a PhD in Theoretical Physics from Imperial College he began research into financial options. His main area of research centres on interest rate modelling and computational finance. He ahs taught practitioner and academic course for many years, chiefly on options and interest rates.

De la contraportada

Back Cover ( this section should include endorsements also)

As interest rate markets continue to innovate and expand it is becoming increasingly important to remain up-to-date with the latest practical and theoretical developments. This book covers the latest developments in full, with descriptions and implementation techniques for all the major classes of interest rate models - both those actively used in practice as well as theoretical models still 'waiting in the wings'.

Interest rate models, implementation methods and estimation issues are discussed at length by the authors as are important new developments such as kernel estimation techniques, economic based models, implied pricing methods and models on manifolds.

Providing balanced coverage of both the practical use of models and the theory that underlies them, Interest Rate Modelling adopts an implementation orientation throughout making it an ideal resource for both practitioners and researchers.

Back Flap

Jessica James

Jessica James is Head of Research for Bank One's Strategic Risk Management group, based in the UK. Jessica started life as a physicist at Manchester University and completed her D Phil in Theoretical Atomic and Nuclear Physics at Christ Church, Oxford, under Professor Sandars. After a year as a college lecturer at Trinity, Oxford, she began work at the First National Bank of Chicago, now Bank One, where she still works. She is well known as a speaker on the conference circuit, lecturing on a variety of topics such as VaR, capital allocation, credit derivatives and interest rate modelling, and has published articles on various aspects of financial modelling.

Nick Webber

Nick Webber is a lecturer in Finance at Warwick Business School. Prior

to his academic career, Nick had extensive experience in the industrial

and commercial world in operational research and computing. After

obtaining a PhD in Theoretical Physics from Imperial College he began

research into financial options. His main area of research centres on

interest rate modelling and computational finance. He has taught

practitioner and academic courses for many years, chiefly on options and

interest rates.

Front Flap

Interest Rate Modelling provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products.

A series of introductory chapters reviews the theoretical background, pointing out the problems in using na?ve valuation and implementation techniques. There follows a full analysis of interest rate models including major categories, such as Affine, HJM and Market models, and in addition, lesser well known types that include Consol, Random field and Jump-augmented Models. Implementation methods are discussed in depth including the latest developments in the use of finite difference, Lattice and Monte Carlo methods and their particular application to the valuation of interest rate derivatives.

Containing previously unpublished material, Interest Rate Modelling is a key reference work both for practitioners developing and implementing models for real and for academics teaching and researching in the field.

De la solapa interior

Interest Rate Modelling provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products.

A series of introductory chapters reviews the theoretical background, pointing out the problems in using nave valuation and implementation techniques. There follow as full analysis of interest rate models including major categories, such as affine, HJM and market models, and in addition, lesser will know types that include Consol, random field and jump-augmented models. Implementation methods are discussed in depth including the latest developments in the use of finite difference, lattice and Monte Carlo methods and their particular application ot the valuation of interest rate derivatives.

Containing previously unpublished material, Interest Rate Modelling is a key reference work both for practitioners developing and implementation models for real and for academics teaching and researching in the field.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
John Wiley & Sons
Año de publicación
2000
Idioma
Inglés
ISBN 10 
0471975230
ISBN 13 
9780471975236
Encuadernación
Tapa dura
Número de páginas
676
Contacto del fabricante
no disponible
Persona responsable
no disponible