Interest Rate Dynamics, Derivatives Pricing, And Risk Management

Description: Please refer to the section BELOW (and NOT ABOVE) this line for the product details - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - Title:Interest Rate Dynamics, Derivatives Pricing, And Risk ManagementISBN13:9783540608141ISBN10:3540608141Author:Chen, Lin (Author)Description:There Are Two Types Of Tenn Structure Models In The Literature: The Equilibrium Models And The No-Arbitrage Models And There Are, Correspondingly, Two Types Of Interest Rate Derivatives Pricing Fonnulas Based On Each Type Of Model Of The Tenn Structure The No-Arbitrage Models Are Characterized By The Work Of Ho And Lee (1986), Heath, Jarrow, And Morton (1992), Hull And White (1990 And 1993), And Black, Dennan And Toy (1990) Ho And Lee (1986) Invent The No-Arbitrage Approach To The Tenn Structure Modeling In The Sense That The Model Tenn Structure Can Fit The Initial (Observed) Tenn Structure Of Interest Rates There Are A Number Of Disadvantages With Their Model First, The Model Describes The Whole Volatility Structure By A Sin- Gle Parameter, Implying A Number Of Unrealistic Features Furthennore, The Model Does Not Incorporate Mean Reversion Black-Dennan-Toy (1990) Develop A Model Along Tbe Lines Of Ho And Lee They Eliminate Some Of The Problems Of Ho And Lee (1986) But Create A New One: For A Certain Specification Of The Volatility Function, The Short Rate Can Be Mean-Fteeting Rather Than Mean-Reverting Heath, Jarrow And Morton (1992) (Hjm) Construct A Family Of Continuous Models Of The Term Struc- Ture Consistent With The Initial Tenn Structure Data Binding:Paperback, PaperbackPublisher:SPRINGER NATUREPublication Date:1996-03-07Weight:0.54 lbsDimensions:0.36'' H x 9.21'' L x 6.14'' WNumber of Pages:152Language:English

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