Interest Rate Modelling [Hardcover]

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.Part I: Introduction to interest rate modelling

1. Introduction to interest rates

Interest rate behaviour;
Basic concepts;
Interest rate markets;
Historical and current data;
Uses of interest rate models;
Conclusion

2. Interest rates in history

Interest rates in monetary history;
Characteristics of interest rate behaviour

3. Introduction to interest rate modelling

Yield curve basics;
Describing interest rate processes;
Introducton to interest rate models;
Categories of interest rate model;
The role of the short rate

4. Interest rate models: theory

Summary of valuation

A theoretical market framework;
Fundamentals of pricing; valuing by change of numeraire;
Derivatives in the extended Vasicek model

5. Basic modellló‡