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

Incisive Media, Nov 2000, Pages: 350


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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

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