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Interest rate term structure and valuation modeling

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  • Interest Rate, Term Structure, and valuation modeling

    • contents

    • Preface

    • Contributing Authors

    • SECTION ONE Interest Rate and Term Structure Modeling

      • CHAPTER 1 Interest Rate Models

      • CHAPTER 2 The Four Faces of an Interest Rate Model

      • CHAPTER 3 A Review of No Arbitrage Interest Rate Models

      • CHAPTER 4 An Introductory Guide to Analyzing and Interpreting the Yield Curve

      • CHAPTER 5 Term Structure Modeling

      • CHAPTER 6 A Practical Guide to Swap Curve Construction

      • CHAPTER 7 Fitting the Term Structure of Interest Rates Using the Cubic Spline Methodology

      • CHAPTER 8 Measuring and Forecasting Yield Volatility

    • SECTION TWO Modeling Factor Risk

      • CHAPTER 9 Term Structure Factor Models

      • CHAPTER 10 Multi-Factor Risk Models and Their Applications

      • CHAPTER 11 Measuring Plausibility of Hypothetical Interest Rate Shocks

    • SECTION THREE Valuation Models

      • CHAPTER 12 Understanding the Building Blocks for OAS Models

      • CHAPTER 13 Yield Curves and Valuation Lattices: A Primer

      • CHAPTER 14 Using the Lattice Model to Value Bonds with Embedded Options, Floaters, Options, and Caps/Floors

      • CHAPTER 15 Using the Lattice Model to Value Forward Start Swaps and Swaptions

      • CHAPTER 16 Valuing Path-Dependent Securities

      • CHAPTER 17 Monte Carlo Simulation/OAS Approach to Valuing Residential Real Estate-Backed Securities

      • CHAPTER 18 Mortgage Pricing on Low-Dimensional Grids

      • CHAPTER 19 The Effect of Mean Reversion on the Valuation of Embedded Options and OAS

    • INDEX

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