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Bond math : the theory behind the formulas / / Donald J. Smith
| Bond math : the theory behind the formulas / / Donald J. Smith |
| Autore | Smith Donald J. <1947-> |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (307 p.) |
| Disciplina | 332.63/2301519 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Bonds - Mathematical models
Interest rates - Mathematical models Zero coupon securities |
| ISBN | 1-118-86629-0 |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Bond Math; Contents; Preface to the Second Edition; Preface to the First Edition; CHAPTER 1 Money Market Interest Rates; Interest Rates in Textbook Theory; Money Market Add-On Rates; Money Market Discount Rates; Two Cash Flows, Many Money Market Rates; Add-On Rate, Actual/360; Add-On Rate, Actual/365; Add-On Rate, 30/360; Add-On Rate, Actual/370; Discount Rate, Actual/360; A History Lesson on Money Market Certificates; Periodicity Conversions; Treasury Bill Auction Results; The Future: Hourly Interest Rates?; Conclusion; CHAPTER 2 Zero-Coupon Bonds; The Story of TIGRS, CATS, LIONS, and STRIPS
Yields to Maturity on Zero-Coupon BondsHorizon Yields and Holding-Period Rates of Return; Changes in Bond Prices and Yields; Credit Spreads and the Implied Probability of Default; Conclusion; CHAPTER 3 Prices and Yields on Coupon Bonds; Market Demand and Supply; Bond Prices and Yields to Maturity in a World of No Arbitrage; Some Other Yield Statistics; Horizon Yields; Some Uses of Yield-to-Maturity Statistics; Implied Probability of Default on Coupon Bonds; Bond Pricing between Coupon Dates; A Real Corporate Bond; Conclusion; CHAPTER 4 Bond Taxation; Basic Bond Taxation; Market Discount Bonds A Real Market Discount Corporate BondPremium Bonds; Original Issue Discount Bonds; Municipal Bonds; Conclusion; CHAPTER 5 Yield Curves; An Intuitive Forward Curve; Classic Theories of the Term Structure of Interest Rates; Accurate Implied Forward Rates; Money Market Implied Forward Rates; Calculating and Using Implied Spot (Zero-Coupon) Rates; More Applications for the Implied Spot and Forward Curves; Discount Factors; Conclusion; CHAPTER 6 Duration and Convexity; Yield Duration and Convexity Relationships; Yield Duration; The Relationship between Yield Duration and Maturity; Yield Convexity Bloomberg Yield Duration and ConvexityCurve Duration and Convexity; Conclusion; CHAPTER 7 Floaters and Linkers; Floating-Rate Notes in General; A Simple Floater Valuation Model; A Somewhat More Complex Floater Valuation Model; An Actual Floater; Inflation-Indexed Bonds: C-Linkers and P-Linkers; Linker Taxation; Linker Duration; Conclusion; CHAPTER 8 Interest Rate Swaps; Pricing an Interest Rate Swap; Interest Rate Forwards and Futures; Inferring the Forward Curve; Valuing an Interest Rate Swap; Interest Rate Swap Duration; Collateralized Swaps; Traditional LIBOR Discounting; OIS Discounting The LIBOR Forward Curve for OIS DiscountingConclusion; CHAPTER 9 Bond Portfolios; Bond Portfolio Statistics in Theory; Bond Portfolio Statistics in Practice; A Real Bond Portfolio; Thoughts on Bond Portfolio Statistics; Conclusion; CHAPTER 10 Bond Strategies; Acting on a Rate View; An Interest Rate Swap Overlay Strategy; Classic Immunization Theory; Immunization Implementation Issues; Liability-Driven Investing; Closing Thoughts: Target-Duration Bond Funds; Technical Appendix; Acronyms; Bibliographic Notes; About the Author; Acknowledgments; About the Companion Website; Index; EULA |
| Record Nr. | UNINA-9910787126703321 |
Smith Donald J. <1947->
|
||
| Hoboken, New Jersey : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bond math : the theory behind the formulas / / Donald J. Smith
| Bond math : the theory behind the formulas / / Donald J. Smith |
| Autore | Smith Donald J. <1947-> |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (307 p.) |
| Disciplina | 332.63/2301519 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Bonds - Mathematical models
Interest rates - Mathematical models Zero coupon securities |
| ISBN | 1-118-86629-0 |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Bond Math; Contents; Preface to the Second Edition; Preface to the First Edition; CHAPTER 1 Money Market Interest Rates; Interest Rates in Textbook Theory; Money Market Add-On Rates; Money Market Discount Rates; Two Cash Flows, Many Money Market Rates; Add-On Rate, Actual/360; Add-On Rate, Actual/365; Add-On Rate, 30/360; Add-On Rate, Actual/370; Discount Rate, Actual/360; A History Lesson on Money Market Certificates; Periodicity Conversions; Treasury Bill Auction Results; The Future: Hourly Interest Rates?; Conclusion; CHAPTER 2 Zero-Coupon Bonds; The Story of TIGRS, CATS, LIONS, and STRIPS
Yields to Maturity on Zero-Coupon BondsHorizon Yields and Holding-Period Rates of Return; Changes in Bond Prices and Yields; Credit Spreads and the Implied Probability of Default; Conclusion; CHAPTER 3 Prices and Yields on Coupon Bonds; Market Demand and Supply; Bond Prices and Yields to Maturity in a World of No Arbitrage; Some Other Yield Statistics; Horizon Yields; Some Uses of Yield-to-Maturity Statistics; Implied Probability of Default on Coupon Bonds; Bond Pricing between Coupon Dates; A Real Corporate Bond; Conclusion; CHAPTER 4 Bond Taxation; Basic Bond Taxation; Market Discount Bonds A Real Market Discount Corporate BondPremium Bonds; Original Issue Discount Bonds; Municipal Bonds; Conclusion; CHAPTER 5 Yield Curves; An Intuitive Forward Curve; Classic Theories of the Term Structure of Interest Rates; Accurate Implied Forward Rates; Money Market Implied Forward Rates; Calculating and Using Implied Spot (Zero-Coupon) Rates; More Applications for the Implied Spot and Forward Curves; Discount Factors; Conclusion; CHAPTER 6 Duration and Convexity; Yield Duration and Convexity Relationships; Yield Duration; The Relationship between Yield Duration and Maturity; Yield Convexity Bloomberg Yield Duration and ConvexityCurve Duration and Convexity; Conclusion; CHAPTER 7 Floaters and Linkers; Floating-Rate Notes in General; A Simple Floater Valuation Model; A Somewhat More Complex Floater Valuation Model; An Actual Floater; Inflation-Indexed Bonds: C-Linkers and P-Linkers; Linker Taxation; Linker Duration; Conclusion; CHAPTER 8 Interest Rate Swaps; Pricing an Interest Rate Swap; Interest Rate Forwards and Futures; Inferring the Forward Curve; Valuing an Interest Rate Swap; Interest Rate Swap Duration; Collateralized Swaps; Traditional LIBOR Discounting; OIS Discounting The LIBOR Forward Curve for OIS DiscountingConclusion; CHAPTER 9 Bond Portfolios; Bond Portfolio Statistics in Theory; Bond Portfolio Statistics in Practice; A Real Bond Portfolio; Thoughts on Bond Portfolio Statistics; Conclusion; CHAPTER 10 Bond Strategies; Acting on a Rate View; An Interest Rate Swap Overlay Strategy; Classic Immunization Theory; Immunization Implementation Issues; Liability-Driven Investing; Closing Thoughts: Target-Duration Bond Funds; Technical Appendix; Acronyms; Bibliographic Notes; About the Author; Acknowledgments; About the Companion Website; Index; EULA |
| Record Nr. | UNINA-9910807457803321 |
|
Smith Donald J. <1947->
|
||
| Hoboken, New Jersey : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bond math [[electronic resource] ] : the theory behind the formulas / / Donald J. Smith
| Bond math [[electronic resource] ] : the theory behind the formulas / / Donald J. Smith |
| Autore | Smith Donald J. <1947-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2011 |
| Descrizione fisica | 1 online resource (290 p.) |
| Disciplina |
332.63/2301519
332.632301519 |
| Collana | Wiley finance series |
| Soggetto topico |
Bonds - Mathematical models
Interest rates - Mathematical models Zero coupon securities |
| ISBN |
1-118-10316-5
1-283-17524-X 9786613175243 1-118-26800-8 0-470-87921-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
BOND MATH; Contents; Preface; CHAPTER 1 MoneyMarket Interest Rates; Interest Rates in Textbook Theory; Money Market Add-on Rates; Money Market Discount Rates; Two Cash Flows, Many Money Market Rates; A History Lesson on Money Market Certificates; Periodicity Conversions; Treasury Bill Auction Results; The Future: Hourly Interest Rates?; Conclusion; CHAPTER 2 Zero-Coupon Bonds; The Story of TIGRS, CATS, LIONS, and STRIPS; Yields to Maturity on Zero-Coupon Bonds; Horizon Yields and Holding-Period Rates of Return; Changes in Bond Prices and Yields
Credit Spreads and the Implied Probability of DefaultConclusion; CHAPTER 3 Prices and Yields on Coupon Bonds; Market Demand and Supply; Bond Prices and Yields to Maturity in a World of No Arbitrage; Some Other Yield Statistics; Horizon Yields; Some Uses of Yield-to-Maturity Statistics; Implied Probability of Default on Coupon Bonds; Bond Pricing between Coupon Dates; A Real Corporate Bond; Conclusion; CHAPTER 4 Bond Taxation; Basic Bond Taxation; Market Discount Bonds; A Real Market Discount Corporate Bond; Premium Bonds; Original Issue Discount Bonds; Municipal Bonds; Conclusion CHAPTER 5 Yield CurvesAn Intuitive Forward Curve; Classic Theories of the Term Structure of Interest Rates; Accurate Implied Forward Rates; Money Market Implied Forward Rates; Calculating and Using Implied Spot (Zero-Coupon) Rates; More Applications for the Implied Spot and Forward Curves; Conclusion; CHAPTER 6 Duration and Convexity; Yield Duration and Convexity Relationships; Yield Duration; The Relationship between Yield Duration and Maturity; Yield Convexity; Bloomberg Yield Duration and Convexity; Curve Duration and Convexity; Conclusion; CHAPTER 7 Floaters and Linkers Floating-Rate Notes in GeneralA Simple Floater Valuation Model; An Actual Floater; Inflation-Indexed Bonds: C-Linkers and P-Linkers; Linker Taxation; Linker Duration; Conclusion; CHAPTER 8 Interest Rate Swaps; Pricing an Interest Rate Swap; Interest Rate Forwards and Futures; Inferring the Forward Curve; Valuing an Interest Rate Swap; Interest Rate Swap Duration and Convexity; Conclusion; CHAPTER 9 Bond Portfolios; Bond Portfolio Statistics in Theory; Bond Portfolio Statistics in Practice; A Real Bond Portfolio; Thoughts on Bond Portfolio Statistics; Conclusion; CHAPTER 10 Bond Strategies Acting on a Rate ViewAn Interest Rate Swap Overlay Strategy; Classic Immunization Theory; Immunization Implementation Issues; Liability-Driven Investing; Closing Thoughts: Target-Duration Bond Funds; Technical Appendix; Acronyms; Bibliographic Notes; About the Author; Acknowledgments; Index |
| Record Nr. | UNINA-9910139632503321 |
|
Smith Donald J. <1947->
|
||
| Hoboken, N.J., : Wiley, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bond math [[electronic resource] ] : the theory behind the formulas / / Donald J. Smith
| Bond math [[electronic resource] ] : the theory behind the formulas / / Donald J. Smith |
| Autore | Smith Donald J. <1947-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2011 |
| Descrizione fisica | 1 online resource (290 p.) |
| Disciplina |
332.63/2301519
332.632301519 |
| Collana | Wiley finance series |
| Soggetto topico |
Bonds - Mathematical models
Interest rates - Mathematical models Zero coupon securities |
| ISBN |
1-118-10316-5
1-283-17524-X 9786613175243 1-118-26800-8 0-470-87921-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
BOND MATH; Contents; Preface; CHAPTER 1 MoneyMarket Interest Rates; Interest Rates in Textbook Theory; Money Market Add-on Rates; Money Market Discount Rates; Two Cash Flows, Many Money Market Rates; A History Lesson on Money Market Certificates; Periodicity Conversions; Treasury Bill Auction Results; The Future: Hourly Interest Rates?; Conclusion; CHAPTER 2 Zero-Coupon Bonds; The Story of TIGRS, CATS, LIONS, and STRIPS; Yields to Maturity on Zero-Coupon Bonds; Horizon Yields and Holding-Period Rates of Return; Changes in Bond Prices and Yields
Credit Spreads and the Implied Probability of DefaultConclusion; CHAPTER 3 Prices and Yields on Coupon Bonds; Market Demand and Supply; Bond Prices and Yields to Maturity in a World of No Arbitrage; Some Other Yield Statistics; Horizon Yields; Some Uses of Yield-to-Maturity Statistics; Implied Probability of Default on Coupon Bonds; Bond Pricing between Coupon Dates; A Real Corporate Bond; Conclusion; CHAPTER 4 Bond Taxation; Basic Bond Taxation; Market Discount Bonds; A Real Market Discount Corporate Bond; Premium Bonds; Original Issue Discount Bonds; Municipal Bonds; Conclusion CHAPTER 5 Yield CurvesAn Intuitive Forward Curve; Classic Theories of the Term Structure of Interest Rates; Accurate Implied Forward Rates; Money Market Implied Forward Rates; Calculating and Using Implied Spot (Zero-Coupon) Rates; More Applications for the Implied Spot and Forward Curves; Conclusion; CHAPTER 6 Duration and Convexity; Yield Duration and Convexity Relationships; Yield Duration; The Relationship between Yield Duration and Maturity; Yield Convexity; Bloomberg Yield Duration and Convexity; Curve Duration and Convexity; Conclusion; CHAPTER 7 Floaters and Linkers Floating-Rate Notes in GeneralA Simple Floater Valuation Model; An Actual Floater; Inflation-Indexed Bonds: C-Linkers and P-Linkers; Linker Taxation; Linker Duration; Conclusion; CHAPTER 8 Interest Rate Swaps; Pricing an Interest Rate Swap; Interest Rate Forwards and Futures; Inferring the Forward Curve; Valuing an Interest Rate Swap; Interest Rate Swap Duration and Convexity; Conclusion; CHAPTER 9 Bond Portfolios; Bond Portfolio Statistics in Theory; Bond Portfolio Statistics in Practice; A Real Bond Portfolio; Thoughts on Bond Portfolio Statistics; Conclusion; CHAPTER 10 Bond Strategies Acting on a Rate ViewAn Interest Rate Swap Overlay Strategy; Classic Immunization Theory; Immunization Implementation Issues; Liability-Driven Investing; Closing Thoughts: Target-Duration Bond Funds; Technical Appendix; Acronyms; Bibliographic Notes; About the Author; Acknowledgments; Index |
| Record Nr. | UNINA-9910830981103321 |
|
Smith Donald J. <1947->
|
||
| Hoboken, N.J., : Wiley, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bond math [[electronic resource] ] : the theory behind the formulas / / Donald J. Smith
| Bond math [[electronic resource] ] : the theory behind the formulas / / Donald J. Smith |
| Autore | Smith Donald J. <1947-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2011 |
| Descrizione fisica | 1 online resource (290 p.) |
| Disciplina |
332.63/2301519
332.632301519 |
| Collana | Wiley finance series |
| Soggetto topico |
Bonds - Mathematical models
Interest rates - Mathematical models Zero coupon securities |
| ISBN |
1-118-10316-5
1-283-17524-X 9786613175243 1-118-26800-8 0-470-87921-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
BOND MATH; Contents; Preface; CHAPTER 1 MoneyMarket Interest Rates; Interest Rates in Textbook Theory; Money Market Add-on Rates; Money Market Discount Rates; Two Cash Flows, Many Money Market Rates; A History Lesson on Money Market Certificates; Periodicity Conversions; Treasury Bill Auction Results; The Future: Hourly Interest Rates?; Conclusion; CHAPTER 2 Zero-Coupon Bonds; The Story of TIGRS, CATS, LIONS, and STRIPS; Yields to Maturity on Zero-Coupon Bonds; Horizon Yields and Holding-Period Rates of Return; Changes in Bond Prices and Yields
Credit Spreads and the Implied Probability of DefaultConclusion; CHAPTER 3 Prices and Yields on Coupon Bonds; Market Demand and Supply; Bond Prices and Yields to Maturity in a World of No Arbitrage; Some Other Yield Statistics; Horizon Yields; Some Uses of Yield-to-Maturity Statistics; Implied Probability of Default on Coupon Bonds; Bond Pricing between Coupon Dates; A Real Corporate Bond; Conclusion; CHAPTER 4 Bond Taxation; Basic Bond Taxation; Market Discount Bonds; A Real Market Discount Corporate Bond; Premium Bonds; Original Issue Discount Bonds; Municipal Bonds; Conclusion CHAPTER 5 Yield CurvesAn Intuitive Forward Curve; Classic Theories of the Term Structure of Interest Rates; Accurate Implied Forward Rates; Money Market Implied Forward Rates; Calculating and Using Implied Spot (Zero-Coupon) Rates; More Applications for the Implied Spot and Forward Curves; Conclusion; CHAPTER 6 Duration and Convexity; Yield Duration and Convexity Relationships; Yield Duration; The Relationship between Yield Duration and Maturity; Yield Convexity; Bloomberg Yield Duration and Convexity; Curve Duration and Convexity; Conclusion; CHAPTER 7 Floaters and Linkers Floating-Rate Notes in GeneralA Simple Floater Valuation Model; An Actual Floater; Inflation-Indexed Bonds: C-Linkers and P-Linkers; Linker Taxation; Linker Duration; Conclusion; CHAPTER 8 Interest Rate Swaps; Pricing an Interest Rate Swap; Interest Rate Forwards and Futures; Inferring the Forward Curve; Valuing an Interest Rate Swap; Interest Rate Swap Duration and Convexity; Conclusion; CHAPTER 9 Bond Portfolios; Bond Portfolio Statistics in Theory; Bond Portfolio Statistics in Practice; A Real Bond Portfolio; Thoughts on Bond Portfolio Statistics; Conclusion; CHAPTER 10 Bond Strategies Acting on a Rate ViewAn Interest Rate Swap Overlay Strategy; Classic Immunization Theory; Immunization Implementation Issues; Liability-Driven Investing; Closing Thoughts: Target-Duration Bond Funds; Technical Appendix; Acronyms; Bibliographic Notes; About the Author; Acknowledgments; Index |
| Record Nr. | UNINA-9910841254003321 |
|
Smith Donald J. <1947->
|
||
| Hoboken, N.J., : Wiley, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The concepts and practice of mathematical finance / Mark S. Joshi
| The concepts and practice of mathematical finance / Mark S. Joshi |
| Autore | Joshi, Mark Suresh |
| Pubbl/distr/stampa | Cambridge, UK : Cambridge University Press, 2003 |
| Descrizione fisica | xvii, 473 p. : ill. ; 26 cm |
| Disciplina | 332.0151 |
| Collana | Mathematics, finance, and risk |
| Soggetto topico |
Derivative securities - Prices - Mathematical models
Options (Finance) - Prices - Mathematical models Interest rates - Mathematical models Finance - Mathematical models Investments - Mathematics Risk management - Mathematical models |
| ISBN | 0521823552 |
| Classificazione |
AMS 93A
LC HG6024.A3J67 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000497689707536 |
|
Joshi, Mark Suresh
|
||
| Cambridge, UK : Cambridge University Press, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Deficit-savings ratios as indicators of interest-rate pressure [[electronic resource] ] : a collection of notes / / by Gerard Caprio ... [and others]
| Deficit-savings ratios as indicators of interest-rate pressure [[electronic resource] ] : a collection of notes / / by Gerard Caprio ... [and others] |
| Pubbl/distr/stampa | [Washington, D.C.] : , : [Board of Governors of the Federal Reserve System], , [1983] |
| Descrizione fisica | 1 online resource (37 unnumbered pages) |
| Altri autori (Persone) | CaprioGerard |
| Collana | International finance discussion papers |
| Soggetto topico |
Interest rates
Interest rates - Mathematical models |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Deficit-savings ratios as indicators of interest-rate pressure |
| Record Nr. | UNINA-9910702134403321 |
| [Washington, D.C.] : , : [Board of Governors of the Federal Reserve System], , [1983] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The impact of supply side policy rules on exchange rates, interest rates and the terms of trade [[electronic resource] ] : an exploration under alternative price rules / / by Colin Lawrence
| The impact of supply side policy rules on exchange rates, interest rates and the terms of trade [[electronic resource] ] : an exploration under alternative price rules / / by Colin Lawrence |
| Autore | Lawrence Colin <1951-> |
| Pubbl/distr/stampa | [Washington, D.C.] : , : [Board of the Governors of the Federal Reserve System], , [1983] |
| Descrizione fisica | 1 online resource (28 pages) |
| Collana | International finance discussion papers |
| Soggetto topico |
Foreign exchange - Mathematical models
Interest rates - Mathematical models |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Impact of supply side policy rules on exchange rates, interest rates and the terms of trade |
| Record Nr. | UNINA-9910702174503321 |
|
Lawrence Colin <1951->
|
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| [Washington, D.C.] : , : [Board of the Governors of the Federal Reserve System], , [1983] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Information and accuracy in interest-rate-risk simulation [[electronic resource] /] / Mike Carhill
| Information and accuracy in interest-rate-risk simulation [[electronic resource] /] / Mike Carhill |
| Autore | Carhill Mike |
| Pubbl/distr/stampa | [Washington, D.C.] : , : Comptroller of the Currency, Administrator of National Banks, , [1994] |
| Collana | Economic & policy analysis working paper |
| Soggetto topico | Interest rates - Mathematical models |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910692108903321 |
|
Carhill Mike
|
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| [Washington, D.C.] : , : Comptroller of the Currency, Administrator of National Banks, , [1994] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The LIBOR market model in practice [[electronic resource] /] / Dariusz Gatarek, Przemyslaw Bachert and Robert Maksymiuk
| The LIBOR market model in practice [[electronic resource] /] / Dariusz Gatarek, Przemyslaw Bachert and Robert Maksymiuk |
| Autore | Gatarek Dariusz |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2006 |
| Descrizione fisica | 1 online resource (292 p.) |
| Disciplina |
332.64570151
332.8011 |
| Altri autori (Persone) |
BachertPrzemyslaw
MaksymiukRobert |
| Collana | Wiley finance series |
| Soggetto topico |
Interest rates - Mathematical models
Interest rate futures - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-67334-4
1-280-74002-7 9786610740024 0-470-06041-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The LIBOR Market Model in Practice; Contents; Acknowledgments; About the Authors; Introduction; Part I THEORY; 1 Mathematics in a Pill; 1.1 Probability Space and Random Variables; 1.2 Normal Distributions; 1.3 Stochastic Processes; 1.4 Wiener Processes; 1.5 Geometric Wiener Processes; 1.6 Markov Processes; 1.7 Stochastic Integrals and Stochastic Differential Equations; 1.8 Ito's Formula; 1.9 Martingales; 1.10 Girsanov's Theorem; 1.11 Black's Formula (1976); 1.12 Pricing Derivatives and Changing of Numeraire; 1.13 Pricing of Interest Rate Derivatives and the Forward Measure
2 Heath-Jarrow-Morton and Brace-Gatarek-Musiela Models2.1 HJM and BGM Models Under the Spot Measure; 2.2 Vasicek Model; 2.3 Cox-Ingersoll-Ross Model; 2.4 Black-Karasinski Model; 2.5 HJM and BGM Models under the Forward Measures; 3 Simulation; 3.1 Simulation of HJM and BGM Models under the Forward Measure; 3.2 Monte Carlo Simulation of Multidimensional Gaussian Variables; Random numbers generation; Principal Components Analysis (PCA); Cholesky decomposition; 3.3 Trinomial Tree Simulation of Multidimensional Gaussian Variables; 4 Swaption Pricing and Calibration 4.1 Linear Pricing in the BGM Model4.2 Linear Pricing of Swaptions in the HJM Model; 4.3 Universal Volatility Function; 4.4 Time Homogeneous Volatility; 4.5 Separated Volatility; Example of Separated Calibration; 4.6 Parametrized Volatility; 4.7 Parametric Calibration to Caps and Swaptions Based on Rebonato Approach; 4.8 Semilinear Pricing of Swaptions in the BGM Model; 4.9 Semilinear Pricing of Swaptions in the HJM Model; 4.10 Nonlinear Pricing of Swaptions; 4.11 Examples; 5 Smile Modelling in the BGM Model; 5.1 The Shifted BGM Model; 5.2 Stochastic Volatility for Long Term Options 5.3 The Uncertain Volatility Displaced LIBOR Market Model5.4 Mixing the BGM and HJM Models; 6 Simplified BGM and HJM Models; 6.1 CMS Rate Dynamics in Single-Factor HJM Model; 6.2 CMS Rate Dynamics in a Single Factor BGM Model; 6.3 Calibration; 6.4 Smile; Part II CALIBRATION; 7 Calibration Algorithms to Caps and Floors; 7.1 Introduction; 7.2 Market Data; Interpretation of ATM Swaption Quotes; 7.3 Calibration to Caps; 7.3.1 Caplet Values; 7.3.2 ATM Strikes for Caps; 7.3.3 Stripping Caplet Volatilities from Cap Quotes; 7.4 Non-Parametric Calibration Algorithms 7.4.1 Piecewise Constant Instantaneous Volatilities Depending on the Time to Maturity7.4.2 Piecewise Constant Instantaneous Volatilities Depending on the Maturity of the Underlying Forward Rate; 7.5 Conclusions; 8 Non-Parametric Calibration Algorithms to Caps and Swaptions; 8.1 Introduction; 8.2 The Separated Approach; 8.3 The Separated Approach with Optimization; 8.4 The Locally Single Factor Approach; 8.5 Calibration with Historical Correlations of Forward Rates; 8.6 Calibration to Co-Terminal Swaptions; 8.7 Conclusions 9 Calibration Algorithms to Caps and Swaptions Based on Optimization Techniques |
| Record Nr. | UNINA-9910143707703321 |
|
Gatarek Dariusz
|
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| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
