A History of Interest Rates, 4th Edition, Sidney Homer
Автор: Mark Britten-Jones Название: Fixed Income and Interest Rate Derivative Analysis, ISBN: 075064012X ISBN-13(EAN): 9780750640121 Издательство: Elsevier Science Рейтинг: Цена: 9065 р. Наличие на складе: Поставка под заказ.
Описание: Gives a clear approach to the analytical techniques of debt instrument valuation. Without using complicated mathematical abstractions, this book shows that the fundamentals of fixed income and interest rate derivate analysis can be easily understood when seen as a small number of simple economic concepts.
Описание: Structured Products Volume 1 consists of 4 Parts and 20 Chapters covering applications of derivatives, the creation of synthetic assets using derivaves (such as asset swaps, structured notes and repackaged assets), exotic options, non-generic derivative structures used in interest rates and currency markets (including non-generic swaps, basis (floating-to-floating) swaps, swaptions (options on interest rate swaps), callable bonds, CMT products, IAR products, interest rate and currency structured products.
Автор: Chadha Название: Interest Rates, Prices and Liquidity ISBN: 1107480035 ISBN-13(EAN): 9781107480032 Издательство: Cambridge Academ Рейтинг: Цена: 3225 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Many of the assumptions that underpin mainstream macroeconomic models have been challenged as a result of the traumatic events of the recent financial crisis. Thus, until recently, it was widely agreed that although the stock of money had a role to play, in practice it could be ignored as long as we used short-term nominal interest rates as the instrument of policy because money and other credit markets would clear at the given policy rate. However, very early on in the financial crisis interest rates effectively hit zero percent and so central banks had to resort to a wholly new set of largely untested instruments to restore order, including quantitative easing and the purchase of toxic financial assets. This book brings together contributions from economists working in academia, financial markets and central banks to assess the effectiveness of these policy instruments and explore what lessons have so far been learned.
Автор: McInerney Название: Stochastic Interest Rates ISBN: 0521175690 ISBN-13(EAN): 9780521175692 Издательство: Cambridge Academ Рейтинг: Цена: 2601 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This volume in the Mastering Mathematical Finance series strikes just the right balance between mathematical rigour and practical application. Existing books on the challenging subject of stochastic interest rate models are often too advanced for Master's students or fail to include practical examples. Stochastic Interest Rates covers practical topics such as calibration, numerical implementation and model limitations in detail. The authors provide numerous exercises and carefully chosen examples to help students acquire the necessary skills to deal with interest rate modelling in a real-world setting. In addition, the book's webpage at www.cambridge.org/9781107002579 provides solutions to all of the exercises as well as the computer code (and associated spreadsheets) for all numerical work, which allows students to verify the results.
Автор: McInerney Название: Stochastic Interest Rates ISBN: 1107002575 ISBN-13(EAN): 9781107002579 Издательство: Cambridge Academ Рейтинг: Цена: 6764 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This volume in the Mastering Mathematical Finance series strikes just the right balance between mathematical rigour and practical application. Existing books on the challenging subject of stochastic interest rate models are often too advanced for Master's students or fail to include practical examples. Stochastic Interest Rates covers practical topics such as calibration, numerical implementation and model limitations in detail. The authors provide numerous exercises and carefully chosen examples to help students acquire the necessary skills to deal with interest rate modelling in a real-world setting. In addition, the book's webpage at www.cambridge.org/9781107002579 provides solutions to all of the exercises as well as the computer code (and associated spreadsheets) for all numerical work, which allows students to verify the results.
Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to twist the interest-rate structure in accordance with its policy objectives? These are among the questions treated.
Originally published in 1966.
The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These paperback editions preserve the original texts of these important books while presenting them in durable paperback editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905."
Автор: Baaquie, Belal E. Название: Interest rates and coupon bonds in quantum finance ISBN: 0521889286 ISBN-13(EAN): 9780521889285 Издательство: Cambridge Academ Рейтинг: Цена: 8326 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The economic crisis of 2008 has shown that the capital markets need new theoretical and mathematical concepts to describe and price financial instruments. Focusing on interest rates and coupon bonds, this book does not employ stochastic calculus – the bedrock of the present day mathematical finance – for any of the derivations. Instead, it analyzes interest rates and coupon bonds using quantum finance. The Heath-Jarrow-Morton and the Libor Market Model are generalized by realizing the forward and Libor interest rates as an imperfectly correlated quantum field. Theoretical models have been calibrated and tested using bond and interest rates market data. Building on the principles formulated in the author’s previous book (Quantum Finance, Cambridge University Press, 2004) this ground-breaking book brings together a diverse collection of theoretical and mathematical interest rate models. It will interest physicists and mathematicians researching in finance, and professionals working in the finance industry.
Автор: Chadha Название: Interest Rates, Prices and Liquidity ISBN: 1107014735 ISBN-13(EAN): 9781107014732 Издательство: Cambridge Academ Рейтинг: Цена: 8014 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Many of the assumptions that underpin mainstream macroeconomic models have been challenged as a result of the traumatic events of the recent financial crisis. Thus, until recently, it was widely agreed that although the stock of money had a role to play, in practice it could be ignored as long as we used short-term nominal interest rates as the instrument of policy because money and other credit markets would clear at the given policy rate. However, very early on in the financial crisis interest rates effectively hit zero percent and so central banks had to resort to a wholly new set of largely untested instruments to restore order, including quantitative easing and the purchase of toxic financial assets. This book brings together contributions from economists working in academia, financial markets and central banks to assess the effectiveness of these policy instruments and explore what lessons have so far been learned.
Описание: The continuous-time portfolio problem consists of finding the optimal investment strategy of an investor. In the classical Merton problem the investor can allocate his funds to a riskless savings account and risky assets. However, to get explicit results, it is assumed that the interest rates are deterministic and that the assets are default free. In this monograph both assumptions are weakened: The author analyzes and solves portfolio problems with stochastic interest rates and with defaultable assets. Besides, he briefly discusses how portfolio problems with foreign assets can be handled. The focus of the monograph is twofold: On the one hand, the economical problems are carefully explained, on the other hand their formal solution is rigorously presented. For this reason the text should be of interest to researchers with a Finance background as well as to researchers with a more formal background who would like to see how mathematics is applied to portfolio theory.
Описание: First Published in 2011. Routledge is an imprint of Taylor & Francis, an informa company.
Автор: Zagst, Rudi Название: Interest-rate management ISBN: 3642087086 ISBN-13(EAN): 9783642087080 Издательство: Springer Рейтинг: Цена: 8414 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book combines a rigorous overview of the mathematics of financial markets with an insight into the practical application of these models to the risk and portfolio management of interest-rate derivatives. It can also serve as a valuable textbook on financial markets for graduate and PhD students in mathematics.
Описание: The introduction of the euro in 1999 cast a focus on the financial markets of constituent euro-zone countries. This book offers in-depth insights and advice for practitioners in the European fixed-income and ancillary derivative markets. It also and includes an analysis of euro and non-euro markets, as well as emerging countries.
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