Author: "Takashi Yasuoka"

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

Volume 1

Personal Book: US $89 Special Offer (PDF + Printed Copy): US $163
Printed Copy: US $119
Library Book: US $356
ISSN: 2452-2082
eISSN: 2452-2090 (Online)
ISBN: 978-1-68108-127-4
eISBN: 978-1-68108-126-7 (Online)
DOI: 10.2174/97816810812671150101

Introduction

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.

Indexed in: Book Citation Index, Social Sciences & Humanities, EBSCO.

Summary

- Pp. i
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Preface

- Pp. iii-v (3)
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Acknowledgements

- Pp. vii
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Biography

- Pp. ix
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Interest Rate Risk

- Pp. 1-30 (30)
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Fundamentals of Stochastic Analysis

- Pp. 31-52 (22)
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Arbitrage Theory

- Pp. 53-64 (12)
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Heath-Jarrow-Morton Model

- Pp. 65-90 (26)
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Libor Market Model

- Pp. 91-110 (20)
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Real-World Model in The Gaussian HJM Model

- Pp. 111-148 (38)
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Remarks on Real-World Models

- Pp. 149-164 (16)
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Real-World Model in The Hull-White Model

- Pp. 165-184 (20)
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Real-World Model in the Libor Market Model

- Pp. 185-224 (40)
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Numerical Examples

- Pp. 225-256 (32)
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Appendix

- Pp. 257-273 (17)
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References

- Pp. 275-280 (6)
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Author Index

- Pp. 281-282 (2)
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Subject Index

- Pp. 283-287 (5)
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