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The New Interest Rate Models Innovations from Heath-Jarrow-Morton to the Present


Description: A comprehensive collection that looks at the development of interest-rate models from 1992 to present

-Covers interest-rate analysis in the light of increased computer power
-Investigates simulation processes, ie random walks and Monte Carlo simulation
-Details the development of three new interest-rate model types including the Markov decision process, extensions and generalisations to the Heath-Jarrow-Morton model and market models
-Makes accessible advanced models that enable modellers to "complete the market" more efficiently when calculating interest rate securities and options' portfolios
-Analysis of Heath-Jarrow-Morton extensions


Contents: I. Forward short rate models and their empirical consequences

Chapter 1
Bond Pricing and the Term Structure of Interest Rates
David Heath, Robert Jarrow and Andrew Morton

Chapter 2
Testing the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent
Claims Pricing
Björn Flesaker

Chapter 3
Implied Volatility Functions in Arbitrage-Free Term Structure Models
Kaushik I. Amin and Andrew J. Morton

Chapter 4
Volatility Structures of Forward Rates and the Dynamics of the Term
Structure
Peter Ritchken and L Sanakarasubramanian

II. Short rate models new and old

Chapter 5
The Volatility of Short-Term Interest Rates: An Empirical Comparison of
Alternative Models of the Term Structure of Interest Rates
Kalok C. Chan, G. Andrew Karolyi, Francis A. Longstaff and Anthony B.
Sanders

Chapter 6
When is the short rate Markovian?
Andrew Carverhill

Chapter 7
Non-parametric Pricing of Interest Rate Derivative Securities
Yacine Aït-Sahalia

Chapter 8
A Non-parametric Analysis of the Forward Rate Volatilities
Neil Pearson and A. Zhou

Chapter 9
Bond Market Clearing
Oldrich Vasicek

III. Potentials and Positive Interest

Chapter 10
A Theory of the Nominal Term Structure of Interest Rates
George M. Constantinides

Chapter 11
The Potential Approach to the Term Structure of Interest Rates
L. C. G. Rogers

Chapter 12
A Note on the Flesaker-Hughston Model of the Term Structure of Interest
Rates
Marek Rutkowski

Chapter 13
International Models for Interest Rates and Foreign Exchange
Björn Flesaker Lane Hughston

Chapter 14
Markov-Functional Interest Rate Models
Philip Hunt, Joanne Kennedy and Antoon Pelsser

IV. From Market Models to Hilbert space theories of the term structure

Chapter 15
A Term Structure Model and the Pricing of Interest Rate Derivatives
Klaus Sandmann and Dieter Sondermann

Chapter 16
A Yield-Factor Model of Interest Rates
Darrell Duffie, and Raymond M. Kan

Chapter 17
Characterising Gaussian Models of the Term Structure
Douglas Kennedy

Chapter 18
Interest Rate Dynamics and Consistent Forward Rate Curves
Tomas Björk and Bent J. Christensen

Chapter 19
Strings Attached
Jean-Philippe Bouchaud, Nicolas Sagna, Rama Cont, Nicole el-Karoui and Marc
Potters




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