Interest rate modelling.

MaRDI QIDQ2756617zbMATH OpenFDO

Authors Jessica James, Nick Webber

Publication date 18 November 2001

zbMATH Keywords

affine modelcomplete-market arbitragefinancial marketfinite difference methodinterest ratesmaximum likelihood techniquemethod of momentsprice kernelprincipal components analysisrandom field modelsplineyield curve model

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

Recommendations

• Interest rate modeling. Theory and practice.
• Interest rate models -- theory and practice
• Interest rate models: an introduction
• Interest-rate management
• Term-structure models. A graduate course

Cited in

(27)

• Two-factor term structure model with uncertain volatility risk
• Pricing credit derivatives under fractional stochastic interest rate models with jumps
• Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach
• A two-factor model for low interest rate regimes
• A defaultable bond model with cyclical fluctuations in the spread process
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• The new interest rate models. Recent developments in the theory and application of yield curve dynamics
• Introduction to `The new interest rate models. Recent developments in the theory and application of yield curve dynamics'.
• An elementary introduction to stochastic interest rate modeling.
• A cyclical square-root model for the term structure of interest rates
• Adjustable and fixed interest rates mortgage markets modelling
• Review Paper. Interest–rate term–structure pricing models: a review
• Interest rate modeling without probabilities
• An Overview of Interest Rate Theory
• scientific article; zbMATH DE number 1505639 (Why is no real title available?)
• Exact smooth term-structure estimation
• Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates
• scientific article; zbMATH DE number 1868935 (Why is no real title available?)
• THE CARMA INTEREST RATE MODEL
• Analytic bond pricing for short rate dynamics evolving on matrix Lie groups
• Interest rate modeling. Theory and practice.
• Yield curves and forward curves for diffusion models of short rates
• Interest rate models -- theory and practice
• Interest-rate management
• A note on Gaussian estimation of the CKLS and CIR models with feedback effects for Japan
• Convexity theory for the term structure equation
• Term-structure models. A graduate course

This page was built for publication: Interest rate modelling.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2756617)