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

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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

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

Same price for 12 weeks. Today is much like next week.

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