Modern Interest Rate Theory

D.C. Brody, L.P. Hughston (Autoren)

Buch | Hardcover

250 Seiten

2020
Cambridge University Press (Verlag)
978-0-521-86702-3 (ISBN)

Infos

The theory of interest rates is presented here from a modern perspective, along with a variety of applications. The book begins with an exposition of the probabilistic foundations needed later. The mathematical framework develoepd is sufficiently rich to cover a wide variety of applicable financial models. The theory of asset pricing is developed from the modern pricing kernel viewpoint rather than the usual hedging approach. Various types of interest rates, the associated market conventions and interest rate derivative structures can then be tackled.

Inhalt

1. Probabilistic foundations; 2. Asset pricing; 3. Derivatives pricing; 4. Discount bonds and interest rates; 5. Dynamics of discount bonds; 6. Short rate models; 7. Positive interest framework; 8. Chaos representation of interest rate dynamics; 9. Geometry of the yield space curves; 10. International models for interest rates and foreign exchange; 11. Real interest rate and models for inflation; 12. Credit-risky bonds and credit derivatives.

Produkt-Details

• Erscheint lt. Verlag: 1.6.2020
• Zusatzinfo: 25 exercises 25 figures 30 worked examples
• Verlagsort: Cambridge
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
• ISBN-10: 0-521-86702-9 / 0521867029
• ISBN-13: 978-0-521-86702-3 / 9780521867023
• Zustand: Neuware