Interest Rate Modelling

1. Front Matter

   Pages i-xi

   PDF

2. Interest Rate Models

   1. Front Matter

      Pages 1-1

      PDF

   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

      PDF

   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

   PDF

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.

• derivatives
• dynamics
• equilibrium
• growth
• interest
• modeling
• investments and securities

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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