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"Provides an excellent view of the various approaches to modelling interest rates that are available in the market...A useful reference for anyone working on interest rates" Douglas Long, Principia Partners
Reseña del editor
This work is a comprehensive collection that looks at the development of interest-rate models from 1992 to 2000. It covers interest-rate analysis in the light of increased computer power, investigates simulation processes such as random walks and Monte Carlo simulation, and details the development of three new ineterest-rate model types including the Markov decision process, extensions and generalizations to the Heath-Jarrow-Morton model and market models. The book also makes accessible advanced models that enable modellers to "complete the market" more efficiently when calculating interest rate securities and options' portfolios.
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The New Interest Rate Models : Recent Developments in the theory and Application of Yield Curve Dynamics
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New Interest Rate Models
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