Economics: Current and Future Developments Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk

Volume in the series

Economics: Current and Future Developments

Publisher:Bentham Science

By: Takashi Yasuoka

Paid access

|Oct 2015

E-Book €82.99Institutions €345.95

Interest Rate Modeling for Risk Management introduces a theoretical framework - the 'real-world' model - that allows us to estimate the market price of interest rate risk based on practical and real life situations. The model can be briefly summarized as a process of estimating the market prices of risk through discretization of forward rates with a 'space-state setup' whilst considering historical data trends. The book starts with a brief explanation of interest rate stochastic analysis fundamentals before delving into standard models such as Heath-Jarrow-Morton Hull-White and LIBOR models. The real-world model is then explained in subsequent chapters while applying different frameworks. 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 for 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.

PDF ISBN: 978-1-68108-126-7

Publisher: Bentham Science

Publication date: 2015

Language: English

Pages: 300

Related subjects:

Business and economics,

Political economics,

Political economics, other

Economics: Current and Future Developments Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk

People also read

Publications carousel

Economics: Current and Future Developments: Volume 1 (2nd Edition): Volume 1

Mathematics for Business

Research Topics in Agricultural and Applied Economics: Volume 3

Research Topics in Agricultural and Applied Economics: Volume 1

Internet Economics: Models Mechanisms and Management

Research Topics in Agricultural and Applied Economics: Volume 2

Econometrics in Practice

Recent Advances in Lifetime and Reliability Models

Uncertainty Bands: A Guide to Predicting and Regulating Economic Processes

Environmental Risk Assessment

Paradigm

My account