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portada Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk
Type
Physical Book
Author
Publisher
Language
English
Pages
300
Format
Paperback
Dimensions
25.4x17.8x2 cm
Weight
0.73 kg.
ISBN13
9781681081274
Categories

Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk

Takashi Yasuoka (Author) · Bentham Science Publishers · Paperback

Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk - Yasuoka, Takashi

New Book Imported to New Zealand
Delivery: 02 Dec - 14 Dec Shipping: 17 to 21 business days.
NZ$ 301.41
Import costs and 15% GST included in the price ✅
NZ$ 301.41

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Synopsis "Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk"

Interest Rate Modeling for Risk Management addresses interest rate modeling for risk management. The interest rate model is specified under the real-world measure, and the result is used as to generate scenarios for interest rates. This type of system is referred to as 'real-world model' in this book. 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 an example of this actually occurring). 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.

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