The New Interest Rate Models
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The New Interest Rate Models: Innovations from Heath-Jarrow-Morton to the Present

The New Interest Rate Models: Innovations from Heath-Jarrow-Morton to the Present


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About the Book

Table of Contents:
Introduction Lane Hughston I. Forward short rate models and their empirical consequences Chapter 1 Bond Pricing and the Term Structure of Interest Rates David Heath, Robert Jarrow and Andrew Morton Chapter 2 Testing the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent Claims Pricing Bjorn Flesaker Chapter 3 Implied Volatility Functions in Arbitrage-Free Term Structure Models Kaushik I. Amin and Andrew J. Morton Chapter 4 Volatility Structures of Forward Rates and the Dynamics of the Term Structure Peter Ritchken and L Sanakarasubramanian II. Short rate models new and old Chapter 5 The Volatility of Short-Term Interest Rates: An Empirical Comparison of Alternative Models of the Term Structure of Interest Rates Kalok C. Chan, G. Andrew Karolyi, Francis A. Longstaff and Anthony B. Sanders Chapter 6 When is the short rate Markovian? Andrew Carverhill Chapter 7 Non-parametric Pricing of Interest Rate Derivative Securities Yacine Ait-Sahalia Chapter 8 A Non-parametric Analysis of the Forward Rate Volatilities Neil Pearson and A. Zhou Chapter 9 Bond Market Clearing Oldrich Vasicek III. Potentials and Positive Interest Chapter 10 A Theory of the Nominal Term Structure of Interest Rates George M. Constantinides Chapter 11 The Potential Approach to the Term Structure of Interest Rates L. C. G. Rogers Chapter 12 A Note on the Flesaker-Hughston Model of the Term Structure of Interest Rates Marek Rutkowski Chapter 13 International Models for Interest Rates and Foreign Exchange Bjorn Flesaker Lane Hughston Chapter 14 Markov-Functional Interest Rate Models Philip Hunt, Joanne Kennedy and Antoon Pelsser IV. From Market Models to Hilbert space theories of the term structure Chapter 15 A Term Structure Model and the Pricing of Interest Rate Derivatives Klaus Sandmann and Dieter Sondermann Chapter 16 A Yield-Factor Model of Interest Rates Darrell Duffie, and Raymond M. Kan Chapter 17 Characterising Gaussian Models of the Term Structure Douglas Kennedy Chapter 18 Interest Rate Dynamics and Consistent Forward Rate Curves Tomas Bjork and Bent J. Christensen Chapter 19 Strings Attached Jean-Philippe Bouchaud, Nicolas Sagna, Rama Cont, Nicole el-Karoui and Marc Potters

Review :
"Provides an excellent view of the various approaches to modelling interest rates that are available in the market...A useful reference for anyone working on interest rates" Douglas Long, Principia Partners


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Product Details
  • ISBN-13: 9781899332977
  • Publisher: Risk Books
  • Publisher Imprint: Risk Books
  • Height: 240 mm
  • ISBN-10: 1899332979
  • Publisher Date: 17 Nov 2000
  • Binding: Hardback
  • Sub Title: Innovations from Heath-Jarrow-Morton to the Present


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