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Book Cover
Book
Author Svoboda, Simona, 1974-

Title Interest rate modelling / Simona Svoboda
Published New York : Palgrave Macmillan, 2004

Copies

Location Call no. Vol. Availability
 MELB  332.801 Svo/Irm  AVAILABLE
Description xi, 275 pages ; 24 cm
Series Finance and capital markets series
Finance and capital markets
Finance and capital markets.
Contents Pt. I. Interest Rate Models -- Ch. 1. The Vasicek Model -- Ch. 2. The Cox, Ingersoll and Ross Model -- Ch. 3. The Brennan and Schwartz Model -- Ch. 4. Longstaff and Schwartz: A Two-Factor Equilibrium Model -- Ch. 5. Langetieg's Multi-Factor Equilibrium Framework -- Ch. 6. The Ball and Torous Model -- Ch. 7. The Hull and White Model -- Ch. 8. The Black, Derman and Toy One-Factor Interest Rate Model -- Ch. 9. The Black and Karasinski Model -- Ch. 10. The Ho and Lee Model -- Ch. 11. The Health, Jarrow and Morton Model -- Ch. 12. Brace, Gatarek and Musiela Model -- Pt. II. Calibration -- Ch. 13. Calibrating the Hull-White extended Vasicel -- Ch. 14. Calibrating the Black, Derman and Toy discrete time model -- Ch. 15. Calibration of the Heath, Jarrow and Morton framework
Summary "A study of the evolution of interest rate modelling theory places these models in the correct mathematical context, allowing appreciation of their key assumptions, concepts and implications." "This book guides the practitioner through the derivation and implementation of a variety of models that account for the characteristics and irregularities of observed term structures."--BOOK JACKET
Bibliography Includes bibliographical references and index
Subject Interest rates -- Mathematical models.
LC no. 2003070297
ISBN 1403934703 (cloth)