Author: Takashi Yasuoka

Series Title: Economics: Current and Future Developments

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

Volume 1

eBook: US $89 Special Offer (PDF + Printed Copy): US $176
Printed Copy: US $131
Library License: US $356
ISSN: 2452-2082 (Print)
ISSN: 2452-2090 (Online)
ISBN: 978-1-68108-127-4 (Print)
ISBN: 978-1-68108-126-7 (Online)
Year of Publication: 2015
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.

Contributors

Author(s):
Takashi Yasuoka
Graduate School of Engineering Management
Shibaura Institute of Technology
3-9-14 Shibaura, Minato-ku
Tokyo, 108-0023
Japan




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