Dynamic Term Structure Modeling

Dynamic Term Structure Modeling
Author :
Publisher : John Wiley & Sons
Total Pages : 722
Release :
ISBN-10 : 9780470140062
ISBN-13 : 0470140062
Rating : 4/5 (062 Downloads)

Book Synopsis Dynamic Term Structure Modeling by : Sanjay K. Nawalkha

Download or read book Dynamic Term Structure Modeling written by Sanjay K. Nawalkha and published by John Wiley & Sons. This book was released on 2007-05-23 with total page 722 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike." --Sanjiv Ranjan Das Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives "Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point." --Nassim Nicholas Taleb author, Dynamic Hedging and The Black Swan "Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models." --Pierre Collin-Dufresne Associate Professor of Finance, UC Berkeley "The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation." --Thomas S. Y. Ho, PHD President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling

Dynamic Term Structure Modeling Related Books

Dynamic Term Structure Modeling
Language: en
Pages: 722
Authors: Sanjay K. Nawalkha
Categories: Business & Economics
Type: BOOK - Published: 2007-05-23 - Publisher: John Wiley & Sons

GET EBOOK

Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibri
Yield Curve Modeling and Forecasting
Language: en
Pages: 223
Authors: Francis X. Diebold
Categories: Business & Economics
Type: BOOK - Published: 2013-01-15 - Publisher: Princeton University Press

GET EBOOK

Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing f
Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)
Language: en
Pages: 5053
Authors: Cheng Few Lee
Categories: Business & Economics
Type: BOOK - Published: 2020-07-30 - Publisher: World Scientific

GET EBOOK

This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econo
Term-Structure Models
Language: en
Pages: 259
Authors: Damir Filipovic
Categories: Mathematics
Type: BOOK - Published: 2009-07-28 - Publisher: Springer Science & Business Media

GET EBOOK

Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure m
Building and Using Dynamic Interest Rate Models
Language: en
Pages: 248
Authors: Ken O. Kortanek
Categories: Business & Economics
Type: BOOK - Published: 2001-11-28 - Publisher: John Wiley & Sons

GET EBOOK

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 traditi