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Interest Rate Dynamics, Derivatives Pricing, and Risk Management (Paperback) Loot Price: R1,432
Discovery Miles 14 320
Repayment Terms: R134 pm x 12*
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Interest Rate Dynamics, Derivatives Pricing, and Risk Management (Paperback): Lin Chen

Interest Rate Dynamics, Derivatives Pricing, and Risk Management (Paperback)

Lin Chen

Series: Lecture Notes in Economics and Mathematical Systems, 435

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Loot Price R1,432 Discovery Miles 14 320 | Repayment Terms: R134 pm x 12*

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This book presents a three-factor model of the term structure of interest rates in which the short mean and volatility of the short rate are stochastic. By this specification, this model has nested many of the term structure models in the existing literature. Based on this rather realistic and sophisticated model, the book further shows how to price interest rate derivatives and to formulate risk management schemes. The model is potentially useful for practical purposes such as pricing bonds, hedging bond portfolios, and formulating dynamic trading strategies. The model could also be used to perform other types of security analyses, such as the valuation of mortgage-backed securities, synthetic security construction, immunization, portfolio indexing, asset/liability management, etc.

General

Imprint: Springer-Verlag
Country of origin: Germany
Series: Lecture Notes in Economics and Mathematical Systems, 435
Release date: April 1997
First published: 1996
Authors: Lin Chen
Dimensions: 235 x 155 x 9mm (L x W x T)
Format: Paperback
Pages: 152
ISBN-13: 978-3-540-60814-1
Categories: Books > Business & Economics > Economics > Macroeconomics > Monetary economics
LSN: 3-540-60814-1
Barcode: 9783540608141

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