Book

Interest Rate Modelling - James, Webber

Interest Rate Modelling provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products.

A series of introductory chapters reviews the theoretical background, pointing out the problems in using nave valuation and implementation techniques. There follow as full analysis of interest rate models including major categories, such as affine, HJM and market models, and in addition, lesser will know types that include Consol, random field and jump-augmented models. Implementation methods are discussed in depth including the latest developments in the use of finite difference, lattice and Monte Carlo methods and their particular application to the valuation of interest rate derivatives.

Containing previously unpublished material, Interest Rate Modelling is a key reference work both for practitioners developing and implementation models for real and for academics teaching and researching in the field.


  • Level: Intermediate
  • Major Topics: T25, T21, T22, T23
  • Minor Topics: T11

Resources

Table of Contents

Part I. Introduction to Interest Rate Modeling
1. Introduction to Interest Rates
2. Interest Rates in History
3. Introduction to Interest Rate Modelling
4. Interest Rate Nodels: Theory
5. Basic Modelling Tools
6. Densities and Distributions

Part II. Interest Rate Models
7. Affine Models
8. Market Models and the Heath, Jarrow and Morton Framework
9. Other Interest Rate Models
10. General Formulations of Interest Rate Models
11. Economic Models

Part III Valuation Methods
12. Finite Difference Methods
13. Valuation: the Monte Carlo Method
14. Lattice Methods

Part IV. Calibration and Estimation
15. Modelling the Yield Curve
16. Principal Components Analysis
17. Estimation Methods: GMM and ML
18. Further Estimation Methods
19. Interest Rates and Implied Pricing…read more