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Palgrave Macmillan

Interest Rate Modelling

  • Book
  • © 2004

Overview

Authors:
  1. Simona Svoboda
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Part of the book series: Finance and Capital Markets Series (FCMS)

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Table of contents (15 chapters)

  1. Front Matter

    Pages i-xi
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  2. Interest Rate Models

    1. Front Matter

      Pages 1-1
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    2. The Vasicek Model

      • Simona Svoboda
      Pages 3-17

    3. The Cox, Ingersoll and Ross Model

      • Simona Svoboda
      Pages 19-47

    4. The Brennan and Schwartz Model

      • Simona Svoboda
      Pages 49-57

    5. Longstaff and Schwartz: A Two-Factor Equilibrium Model

      • Simona Svoboda
      Pages 59-75

    6. Langetieg’s Multi-Factor Equilibrium Framework

      • Simona Svoboda
      Pages 77-93

    7. The Ball and Torous Model

      • Simona Svoboda
      Pages 95-102

    8. The Hull and White Model

      • Simona Svoboda
      Pages 103-120

    9. The Black, Derman and Toy One-Factor Interest Rate Model

      • Simona Svoboda
      Pages 121-133

    10. The Black and Karasinski Model

      • Simona Svoboda
      Pages 135-139

    11. The Ho and Lee Model

      • Simona Svoboda
      Pages 141-160

    12. The Heath, Jarrow and Morton Model

      • Simona Svoboda
      Pages 161-211

    13. Brace, Gatarek and Musiela Model

      • Simona Svoboda
      Pages 213-226

  3. Calibration

    1. Front Matter

      Pages 227-227
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    2. Calibrating the Hull—White extended Vasicek approach

      • Simona Svoboda
      Pages 229-245

    3. Calibrating the Black, Derman and Toy discrete time model

      • Simona Svoboda
      Pages 247-255

    4. Calibration of the Heath, Jarrow and Morton framework

      • Simona Svoboda
      Pages 257-268

  4. Back Matter

    Pages 269-275
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Keywords

About this book

Growth in the derivatives market has brought with it a greater volume and range of interest rate dependent products. These products have become increasingly innovative and complex to price, requiring sophisticated market models that capture the full dynamics of the yield curve. A study of the evolution of interest rate modelling theory places these models in the correct mathematical context, allowing appreciation of their key assumptions, concepts and implications. The book guides the practitioner through the derivation and implementation of a variety of models that account for the characteristics and irregularities of observed term structures.

About the author

SIMONA SVOBODA works as a Quantitative Analyst on the interest rates structuring desk at Rand Merchant Bank, South Africa. Prior to this she held positions in asset management and risk where she was involved in the development of market risk VAR models and credit portfolio management.

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