The Valuation of Interest Rate Derivative Securities

Jeroen F. J. De Munnik (Autor)

Buch | Hardcover

200 Seiten

1996
Routledge (Verlag)
978-0-415-13727-0 (ISBN)

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This text provides an overview and classification of the different approaches to value interest rate dependent securities and a comparison of the numerical approaches to value complex securities.

1. Introduction Part I: The Theoretical Valuation of Interest Rate Derivative Securities 2. Arbitrage Opportunities and the Valuation of Contingent Claims 3. An Overview of the Valuation of Interest Rate Derivative Securities 4. Modelling Bond Prices 5. Modelling the Term Structure of Interest Rates 6. Numerical Methods to Value Interest Rate Derivative Securities Part II: Empirical Results of the Estimation of Interest Rate Dynamics 7. Estimating the Term Structure of Interest Rates: A Time Series Analysis 8. Estimating the Term Structure of Interest Rates: A Cross-Sectional Analysis 9. Estimating the Term Structure of Interest Rate Volatilities: Principal Components 10. Conclusions and Further Research References

Erscheint lt. Verlag	26.9.1996
Reihe/Serie	Routledge New Advances in Economics
Verlagsort	London
Sprache	englisch
Maße	156 x 234 mm
Gewicht	490 g
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
Themenwelt	Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft
ISBN-10	0-415-13727-6 / 0415137276
ISBN-13	978-0-415-13727-0 / 9780415137270
Zustand	Neuware