LEADER 05036nam 22006615 450 001 9910300246603321 005 20200702114755.0 010 $a3-319-25385-9 024 7 $a10.1007/978-3-319-25385-5 035 $a(CKB)3710000000541902 035 $a(EBL)4206937 035 $a(SSID)ssj0001597292 035 $a(PQKBManifestationID)16297057 035 $a(PQKBTitleCode)TC0001597292 035 $a(PQKBWorkID)14886225 035 $a(PQKB)10874585 035 $a(DE-He213)978-3-319-25385-5 035 $a(MiAaPQ)EBC4206937 035 $a(PPN)190883502 035 $a(EXLCZ)993710000000541902 100 $a20151226d2015 u| 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aInterest Rate Modeling: Post-Crisis Challenges and Approaches /$fby Zorana Grbac, Wolfgang Runggaldier 205 $a1st ed. 2015. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2015. 215 $a1 online resource (151 p.) 225 1 $aSpringerBriefs in Quantitative Finance,$x2192-7006 300 $aDescription based upon print version of record. 311 $a3-319-25383-2 320 $aIncludes bibliographical references. 327 $aPreface; Contents; 1 Post-Crisis Fixed-Income Markets; 1.1 Types of Interest Rates and Market Conventions; 1.1.1 Basic Interest Rates: Libor/Euribor, Eonia/FF and OIS Rates; 1.2 Implications of the Crisis; 1.2.1 Spreads and Their Interpretation: Credit and Liquidity Risk; 1.2.2 From Unsecured to Secured Transactions; 1.2.3 Clean Prices Versus Global Prices; 1.3 The New Paradigm: Multiple Curves at All Levels; 1.3.1 Choice of the Discount Curve; 1.3.2 Standard Martingale Measure and Forward Measures Related to OIS Bonds; 1.4 Interest Rate Derivatives; 1.4.1 Forward Rate Agreements 327 $a1.4.2 Fixed and Floating Rate Bonds1.4.3 Interest Rate Swaps; 1.4.4 Overnight Indexed Swaps (OIS); 1.4.5 Basis Swaps; 1.4.6 Caps and Floors; 1.4.7 Swaptions; 2 Short-Rate and Rational Pricing Kernel Models for Multiple Curves; 2.1 Exponentially Affine Factor Models; 2.1.1 The Factor Model and Properties; 2.1.2 Technical Preliminaries; 2.1.3 Explicit Representation of the Libor Rate; 2.2 Gaussian, Exponentially Quadratic Models; 2.3 Pricing of FRAs and Other Linear Derivatives; 2.3.1 Computation of FRA Prices and FRA Rates; 2.3.2 Adjustment Factors for FRAs; 2.4 Pricing of Caps and Floors 327 $a3.4.1 Linear Derivatives: Interest Rate Swaps3.4.2 Linear Derivatives: Specific Swaps and Ensuing Spreads; 3.4.3 Caps and Floors; 3.4.4 Swaptions; 3.5 Adjustment Factors; 3.5.1 Adjustment Factor for the Instantaneous Forward Rate Models; 3.5.2 Adjustment Factor for the HJM-LMM Forward Rate Model; 4 Multiple Curve Extensions of Libor Market Models (LMM); 4.1 Multi-curve Extended LMM; 4.1.1 Description of the Model; 4.1.2 Model Specifications; 4.2 Affine Libor Models with Multiple Curves; 4.2.1 The Driving Process and Its Properties; 4.2.2 The Model 327 $a4.2.3 Pricing in the Multiple Curve Affine Libor Model4.3 Multiplicative Spread Models; References 330 $aFilling a gap in the literature caused by the recent financial crisis, this book provides a treatment of the techniques needed to model and evaluate interest rate derivatives according to the new paradigm for fixed income markets. Concerning this new development, there presently exist only research articles and two books, one of them an edited volume, both being written by researchers working mainly in practice. The aim of this book is to concentrate primarily on the methodological side, thereby providing an overview of the state-of-the-art and also clarifying the link between the new models and the classical literature. The book is intended to serve as a guide for graduate students and researchers as well as practitioners interested in the paradigm change for fixed income markets. A basic knowledge of fixed income markets and related stochastic methodology is assumed as a prerequisite. 410 0$aSpringerBriefs in Quantitative Finance,$x2192-7006 606 $aEconomics, Mathematical 606 $aGame theory 606 $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062 606 $aGame Theory, Economics, Social and Behav. Sciences$3https://scigraph.springernature.com/ontologies/product-market-codes/M13011 615 0$aEconomics, Mathematical. 615 0$aGame theory. 615 14$aQuantitative Finance. 615 24$aGame Theory, Economics, Social and Behav. Sciences. 676 $a332.82015118 700 $aGrbac$b Zorana$4aut$4http://id.loc.gov/vocabulary/relators/aut$0755682 702 $aRunggaldier$b Wolfgang$4aut$4http://id.loc.gov/vocabulary/relators/aut 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910300246603321 996 $aInterest Rate Modeling: Post-Crisis Challenges and Approaches$92498773 997 $aUNINA