This book presents a three-factor model of the term structure of interest rates in which the short mean and volatility of the short rate are stochastic. By this specification, this model has nested many of the term structure models in the existing literature. Based on this rather realistic and sophisticated model, the book further shows how to price interest rate derivatives and to formulate risk management scheme. The model is potentially useful for practical purposes such as pricing bonds, hedging bond portfolios, and ...
Read More
This book presents a three-factor model of the term structure of interest rates in which the short mean and volatility of the short rate are stochastic. By this specification, this model has nested many of the term structure models in the existing literature. Based on this rather realistic and sophisticated model, the book further shows how to price interest rate derivatives and to formulate risk management scheme. The model is potentially useful for practical purposes such as pricing bonds, hedging bond portfolios, and formulating dynamic trading strategies. The model could also be used to perform other types of security analyses, such as the valuation of mortgage-backed securities, synthetic security construction, immunization, portfolio indexing, asset/liability management, etc.
Read Less
Add this copy of Interest Rate Dynamics, Derivatives Pricing, and Risk to cart. $32.00, very good condition, Sold by Avon Hill Books rated 5.0 out of 5 stars, ships from Cambridge, MA, UNITED STATES, published 1996 by Springer.
Add this copy of Interest Rate Dynamics, Derivatives Pricing, and Risk to cart. $57.70, good condition, Sold by Bonita rated 4.0 out of 5 stars, ships from Newport Coast, CA, UNITED STATES, published 1996 by Springer.
