Title
Modeling The Term Structure Of Interest Rates: A Review Of The Literature (Foundations And Trends(R) In Finance),Used
Delivery time: 8-12 business days (International)
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuoustime modeling techniques of the term structure applicable to value and hedge defaultfree bonds and other interest rate derivatives. The authors offer a unifying framework in which most continuoustime term structure models can be viewed and compared in terms of their similarities, their idiosyncratic features, and their main contributions and limitations. Modeling the Term Structure of Interest Rates is organized as follows: Section 1 presents the main objectives and basic definitions and notation; Section 2 proposes an interest rate models' taxonomy; and Section 3 introduces the mathematical framework used throughout the survey. Section 4 presents the main economic theories of the term structure of interest rates. Section 5 provides a unifying framework to present the family of shortterm ratebased term structure models, which encompasses some of the most popular one and multifactor shortterm rate models developed at earlier stages of the term structure modeling literature. Section 6 reviews the second family of forward ratebased models grouped under the name the Heath, Jarrow and Morton (1992) family of term structure models. Section 7 presents the recently developed Libor or market models while preserving the same unifying mathematical framework. Section 8 surveys the empirical evidence on interest rate models' estimation and calibration issues and list selected empirical references which are useful for practitioners interested in the validity and performance of these models. Section 9 introduces a novel approach to characterize and quantify the degree of model misspecification associated with interest rate models. Section 10 discusses some of the challenges posed by running simulations of continuoustime term structure models. Section 11 concludes the survey. Finally, some useful mathematical results can be found in the Appendices.
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We provide a 2-year limited warranty, from the date of purchase for all our products.
If you believe you have received a defective product, or are experiencing any problems with your product, please contact us.
This warranty strictly does not cover damages that arose from negligence, misuse, wear and tear, or not in accordance with product instructions (dropping the product, etc.).
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