Economics: Current and Future Developments Volume 1 (2nd Edition)

Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk (Second Edition)

Author(s): Takashi Yasuoka

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Interest Rate Modeling for Risk Management presents an economic model which can be used to compare interest rate and perform market risk assessment analyses. The key interest rate model applied in ...
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Summary  promotion: free to download

Pp. i

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Preface  promotion: free to download

Pp. ii-iv (3)

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Acknowledgements  promotion: free to download

Pp. v

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Interest Rate Risk

Pp. 1-29 (29)

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Fundamentals Of Stochastic Analysis

Pp. 31-51 (21)

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Arbitrage Theory

Pp. 53-64 (12)

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Heath{Jarrow{Morton Model

Pp. 65-89 (25)

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Libor Market Model

Pp. 91-109 (19)

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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. 149-173 (25)

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Real-World Model In The Hull{White Model

Pp. 175-194 (20)

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Real-World Model In The Libor Market Model

Pp. 195-234 (40)

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Numerical Examples

Pp. 235-279 (45)

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Appendix A: Basics Of Numerical Analysis  promotion: free to download

Pp. 279-281 (3)

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Appendix B: Principal Component Analysis  promotion: free to download

Pp. 283-287 (5)

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Appendix C: Maximum Likelihood Estimation  promotion: free to download

Pp. 289-292 (4)

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Appendix D: Proofs For Dimension Reduction  promotion: free to download

Pp. 293-296 (4)

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Subject Index  promotion: free to download

Pp. 305-310 (6)

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