Interest rate models -- theory and practice
The authors, most appropriately, question themselves in the introduction as to why a new book in financial mathematics, and, in particular, about interest rate theory. Are not there enough books on the subject, covering all possible approaches? And they answer themselves in (approximately) the following very fitting terms: ``Interest rates models-theory and practice is a book about the theory of option pricing of interest rate instruments and about the real life practical implementation of the theory, or in other terms, the book deals with the science of \(f\) options on interest rates, and about its engineering. The book addresses the theory carefully, with no unnecessary ado, and describes many of the difficulties one has to deal with when applying the theory to practice. In the text, the models used in practice are first derived mathematically and then analysed in detail. (Almost) all practical models, ranging all the way from Hull-White (or extended Vasicek) and its tree implementation up to libor market model are described. And afterwards the authors address specific questions on how to implement these models, by answering questions like: Which model to use for this instrument or the other? What happens when your model produces negative rates? When is it appropriate to use a model with humped volatilities? How to calibrate to market data both of caps and ofswaptions? Which size step should be used? How to handle numerically and, simultaneously, early exercise and path dependence? The book is definitely up to the task of presenting the theory and the practice, the science and the engineering, of the quantitative aspects of modelling the evolution of interest rates aiming at pricing and hedging interest rates instruments, and it is definitely useful for a quant involved in interest rates.
- A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates
- The dynamics of implied volatilities: a common principal components approach
- Quantifying risks with exact analytical solutions of derivative pricing distribution
- Dual-curve Hull-White interest rate model with stochastic volatility
- Quantile hedging pension payoffs: an analysis of investment incentives
- A Legendre-based computational method for solving a class of Itô stochastic delay differential equations
- Numerical techniques for pricing callable bonds with notice
- Efficient calibration of trinomial trees for one-factor short rate models
- Interest rate dynamics, derivatives pricing, and risk management
- A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
- Minimal realizations in interest rate models
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
- Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
- Bermudan option in Singapore savings bonds
- Term structure modeling under volatility uncertainty
- Structural properties of generalised Planck distributions
- A pure-jump mean-reverting short rate model
- A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes
- How interest rate influences a business cycle model
- High order splitting schemes with complex timesteps and their application in mathematical finance
- Dependence structure between LIBOR rates by copula method
- Term structure modelling for multiple curves with stochastic discontinuities
- A new parameterization for the drift-free simulation in the Libor market model
- When can insurers offer products that dominate delayed old-age pension benefit claiming?
- What is the natural scale for a Lévy process in modelling term structure of interest rates?
- Risk management of a bond portfolio using options
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
- Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations
- Time discretization and Markovian iteration for coupled FBSDEs
- Static arbitrage bounds on basket option prices
- Some further ideas concerning the interaction between insurance and investment risks
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration
- Understanding the implied volatility surface for options on a diversified index
- A two-factor model for low interest rate regimes
- Three-factor interest rate models
- Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor
- Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
- Implementation and performance of various stochastic models for interest rate derivatives
- On the role of state variables in interest rates models
- Interest rate modelling.
- Towards a central interest rate model
- Stochastic volatility and dependency in energy markets: multi-factor modelling
- Analytical approximation of variable annuities for small volatility and small withdrawal
- Regime switching term structure model under partial information
- Adjustable and fixed interest rates mortgage markets modelling
- Calibration of the Libor market model using correlations implied by CMS spread options
- Modeling and management of mortality risk: a review
- Interest rate modeling. Theory and practice
- Interest rates risk-premium and shape of the yield curve
- An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling
- THEORY AND CALIBRATION OF SWAP MARKET MODELS
- Joining the Heston and a three-factor short rate model: a closed-form approach
- Multiscale Intensity Models for Single Name Credit Derivatives
- Real-world pricing for a modified constant elasticity of variance model
- Return distributions of equity-linked retirement plans under jump and interest rate risk
- A joint stock and bond market based on the hyperbolic Gaussian model
- Boundary values and finite difference methods for the single factor term structure equation
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- scientific article; zbMATH DE number 1304891 (Why is no real title available?)
- scientific article; zbMATH DE number 1487970 (Why is no real title available?)
- scientific article; zbMATH DE number 1505639 (Why is no real title available?)
- A model for interest rates with clustering effects
- Unifying the BGM and SABR models: a short ride in hyperbolic geometry
- Interest rate model comparisons for participating products under Solvency II
- Analytical finance. Volume II. The mathematics of interest rate derivatives, markets, risk and valuation
- A Lévy-driven asset price model with bankruptcy and liquidity risk
- Efficient exposure computation by risk factor decomposition
- Accurate vega calculation for Bermudan swaptions
- Alternative asset-price dynamics and volatility smile
- Vol-bond: an analytical solution
- Pricing of index options under a minimal market model with log-normal scaling
- MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
- A Hybrid Model for Pricing and Hedging of Long-dated Bonds
- Probability Properties of Interest Rate Models
- DYNAMIC HEDGING STRATEGIES FOR CASH BALANCE PENSION PLANS
- scientific article; zbMATH DE number 1833956 (Why is no real title available?)
- Hedging of a credit default swaption in the CIR default intensity model
- scientific article; zbMATH DE number 852306 (Why is no real title available?)
- Finite- and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims
- The Continuous-Time Ehrenfest Process in Term Structure Modelling
- THE CARMA INTEREST RATE MODEL
- Development and pricing of a new participating contract
- Stochastic algorithmic differentiation of (expectations of) discontinuous functions (indicator functions)
- Calibrating local volatility models with stochastic drift and diffusion
- Randomized Global Sensitivity Analysis and Model Robustness
- AMFR-W numerical methods for solving high-dimensional SABR/LIBOR PDE models
- Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusion with application to the Bates model
- Geographical diversification and longevity risk mitigation in annuity portfolios
- An analytical option pricing formula for mean-reverting asset with time-dependent parameter
- Interest rate modeling. Theory and practice.
- Simulation-based Value-at-Risk for nonlinear portfolios
- The Lévy Swap Market Model
- Non-maturing deposits, convexity and timing adjustments
- Standard approaches to asset & liability risk**
- Engineering BGM.
- A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model
- Effective Implementation of Generic Market Models
- scientific article; zbMATH DE number 969940 (Why is no real title available?)
- Interest rate risk premium and equity valuation
- Interest rate theory and geometry
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