Economics: Current and Future Developments

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

Author(s): Takashi Yasuoka

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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 ...
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Summary  promotion: free to download

Pp. i

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Preface  promotion: free to download

Pp. iii-v (3)

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Acknowledgements  promotion: free to download

Pp. vii

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Biography  promotion: free to download

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  promotion: free to download

Pp. 257-273 (17)

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References  promotion: free to download

Pp. 275-280 (6)

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Author Index  promotion: free to download

Pp. 281-282 (2)

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Subject Index  promotion: free to download

Pp. 283-287 (5)

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