Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk (Second Edition): 1 (Economics: Current and Future Developments) - Image 1

£90.06

Bentham Science Publishers Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk (Second Edition): 1 (Economics: Current and Future Developments)

Name: Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk (Second Edition): 1 (Economics: Current and Future Developments)
Brand: Bentham Science Publishers
Price: 90.06 GBP
Availability: InStock

Professional Finance

Price History & Forecast

Last 45 days • 45 data points (No recent data available)

Historical

Generating forecast...

Price Distribution

Price distribution over 45 days • 1 price levels

Days at Price

Price Analysis

Most common price: £90 (45 days, 100.0%)

Price range: £90 - £90

Price levels: 1 different prices over 45 days

Description

Interest Rate Modeling for Risk Management presents an economic model which can be used to compare interest rate and perform market risk assessment analyses. The key interest rate model applied in this book is specified under real-world measures, and the result is used as to generate scenarios for interest rates. The book introduces a theoretical framework that allows estimating the market price of interest rate risk. For this, the book starts with a brief explanation of stochastic analysis, and introduces interest rate models such as Heath-Jarrow-Morton, Hull-White and LIBOR models. The real-world model is then introduced in subsequent chapters. Additionally, the book also explains some properties of the real-world model, along with the negative price tendency of the market price for risk and a positive market price of risk (with practical examples). Readers will also find a handy appendix with proofs to complement the numerical methods explained in the book. This book is intended as a primer for practitioners in financial institutions involved in interest rate risk management. It also presents a new perspective for researchers and graduates in econometrics and finance on the study of interest rate models. The second edition features an expanded commentary on real world models as well as additional numerical examples for the benefit of readers.

Product Specifications

Brand: Bentham Science Publishers
Format: Paperback
ASIN: 1681086905
Category: Books > Subjects > Business, Finance & Law > Professional Finance
Domain: Amazon UK
Release Date: 09 May 2018
Listed Since: 21 June 2018

Barcode

No barcode data available

Bentham Science Publishers Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk (Second Edition): 1 (Economics: Current and Future Developments)

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

Barcode

Similar Products You Might Like

An Introduction to Derivative Securities, Financial Markets, and Risk Management: 2nd Edition

ELEMENTARY INTRODUCTION TO STOCHASTIC INTEREST RATE MODELING, AN (2ND EDITION): 16 (Advanced Series on Statistical Science & Applied Probability)

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)

Model Risk In Financial Markets: From Financial Engineering To Risk Management

Interest Rate Modeling: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)

Pricing and Hedging Interest and Credit Risk Sensitive Instruments

Mathematical Modeling and Computation in Finance: With Exercises and Python and MATLAB Computer Codes

Risk Books - Interest Rate Modelling after the Financial Crisis

Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk: 1 (Economics: Current and Future Developments)

Market Risk Analysis: Quantitative Methods in Finance, Practical Financial Econometrics, Pricing, Hedging and Trading Financial Instruments, Value-at-Risk Models

Modeling Fixed-Income Securities and Interest Rate Options: Second Edition

Term-Structure Models: A Graduate Course (Springer Finance)

Handbook of Market Risk (Wiley Handbooks in Financial Engineering and Econometrics)

Interest Rate Modeling. Volume 1: Foundations and Vanilla Models

Interest Rate Modeling. Volume 3: Products and Risk Management

Engineering Risk and Finance: 188 (International Series in Operations Research & Management Science, 188)

Quantitative Analysis, Derivatives Modeling, and Trading Strategies: In the Presence of Counterparty Credit Risk for the Fixed-Income Market

Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution, Transition, and Implementation (Applied Quantitative Finance)

Term-Structure Models: A Graduate Course (Springer Finance)

Economic Foundations Of Risk Management, The: Theory, Practice, And Applications

Mathematical Modeling and Computation in Finance: With Exercises and Python and MATLAB Computer Codes

Financial Economics, Risk And Information (2nd Edition)

Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (third Edition): 3rd Edition: 1 (Advanced Series On Statistical Science And Applied Probability)