发表于2024-11-08
Interest Rate Dynamics, Derivatives Pricing, and Risk Management 2024 pdf epub mobi 电子书
图书标签: 利率
This book presents a three-factor model of the term structure of interest rates in which the short mean and volatility of the short rate are stochastic. By this specification, this model has nested many of the term structure models in the existing literature. Based on this rather realistic and sophisticated model, the book further shows how to price interest rate derivatives and to formulate risk management scheme. The model is potentially useful for practical purposes such as pricing bonds, hedging bond portfolios, and formulating dynamic trading strategies. The model could also be used to perform other types of security analyses, such as the valuation of mortgage-backed securities, synthetic security construction, immunization, portfolio indexing, asset/liability management, etc.
Interest Rate Dynamics, Derivatives Pricing, and Risk Management 2024 pdf epub mobi 电子书