Building and Using Dynamic Interest Rate Models
Editorial Reviews
Book Description
This book offers a new approach to interest rate and modeling term structure by using
models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical
simulations. It includes software that will enable readers to simulate the various models covered in the book.
From the Inside Flap
The fundamental theme of this book is the development and application of a new class of models for the term structure of interest rates. All significant properties of these dynamic systems models under nonstochastic uncertainty with perturbations are analogs of properties appearing in stochastic differential process models, principally, (a) the type of uncertainty, (b) a model for the spot rate, (c) a norm for uncertainty, (d) nonarbitrage conditions, (e) moments of uncertainty, and (f) modeling additional technical phenomena such as non-negative spot rates or forward rates.
Building and Using Dynamic Interest Rate Models
Building and Using Dynamic Interest Rate Models,Ken O. Kortanek,Vladimir G. Medvedev,John Wiley & Sons,0471495956,Business & Economics,Business / Economics / Finance,Business/Economics,Finance,Financial Markets,Interest,Interest rates,Mathematical Models In Economics,Mathematical models,Business & Economics / Finance,Investment & securities
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