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portada Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk (Second Edition)
Type
Physical Book
Author
Publisher
Language
English
Pages
324
Format
Paperback
Dimensions
25.4x17.8x2.1 cm
Weight
0.78 kg.
ISBN13
9781681086903
Categories

Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk (Second Edition)

Takashi Yasuoka (Author) · Bentham Science Publishers · Paperback

Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk (Second Edition) - Yasuoka, Takashi

New Book Imported to New Zealand
Delivery: 17 Nov - 24 Nov Shipping: 6 to 7 business days.
NZ$ 283.43
Import costs and 15% GST included in the price ✅
NZ$ 283.43

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Synopsis "Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk (Second Edition)"

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.

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