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Book Categories |
Preface | ||
Contributing Authors | ||
Sect. 1 | Interest Rate and Term Structure Modeling | 1 |
Ch. 1 | Interest Rate Models | 3 |
Ch. 2 | The Four Faces of an Interest Rate Model | 27 |
Ch. 3 | A Review of No Arbitrage Interest Rate Models | 39 |
Ch. 4 | An Introductory Guide to Analyzing and Interpreting the Yield Curve | 73 |
Ch. 5 | Term Structure Modeling | 93 |
Ch. 6 | A Practical Guide to Swap Curve Construction | 137 |
Ch. 7 | Fitting the Term Structure of Interest Rates Using the Cubic Spline Methodology | 157 |
Ch. 8 | Measuring and Forecasting Yield Volatility | 187 |
Sect. 2 | Modeling Factor Risk | 213 |
Ch. 9 | Term Structure Factor Models | 215 |
Ch. 10 | Multi-Factor Risk Models and Their Applications | 241 |
Ch. 11 | Measuring Plausibility of Hypothetical Interest Rate Shocks | 295 |
Sect. 3 | Valuation Models | 313 |
Ch. 12 | Understanding the Building Blocks for OAS Models | 315 |
Ch. 13 | Yield Curves and Valuation Lattices: A Primer | 345 |
Ch. 14 | Using the Lattice Model to Value Bonds with Embedded Options, Floaters, Options, and Caps/Floors | 357 |
Ch. 15 | Using the Lattice Model to Value Forward Start Swaps and Swaptions | 379 |
Ch. 16 | Valuing Path-Dependent Securities | 421 |
Ch. 17 | Monte Carlo Simulation/OAS Approach to Valuing Residential Real Estate-Backed Securities | 443 |
Ch. 18 | Mortgage Pricing on Low-Dimensional Grids | 469 |
Ch. 19 | The Effect of Mean Reversion on the Valuation of Embedded Options and OAS | 489 |
Index | 499 |
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Add Interest Rate Modeling, Interest Rate, Term Structure, and Valuation Modeling is a valuable practitioner-oriented text that thoroughly reviews the interest rate models and term structure models used today by market professionals and vendors of analytical services. This access, Interest Rate Modeling to the inventory that you are selling on WonderClubX
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Add Interest Rate Modeling, Interest Rate, Term Structure, and Valuation Modeling is a valuable practitioner-oriented text that thoroughly reviews the interest rate models and term structure models used today by market professionals and vendors of analytical services. This access, Interest Rate Modeling to your collection on WonderClub |