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Building and Using Dynamic Interest Rate Models

Building and Using Dynamic Interest Rate Models

Building and Using Dynamic Interest Rate Models
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Building and Using Dynamic Interest Rate Models Hardback - 2001 - 1st Edition

by Kortanek, Ken O

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Wiley, 2001-11-12. 1. hardcover. New. 6.93x0.84x9.72. Buy with confidence. Excellent Customer Service & Return policy.
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Details

  • Title Building and Using Dynamic Interest Rate Models
  • Author Kortanek, Ken O
  • Binding Hardback
  • Edition number 1st
  • Edition 1
  • Condition New
  • Pages 236
  • Volumes 1
  • Language ENG
  • Publisher Wiley
  • Publication date 2001-11-12
  • Illustrated Yes
  • Bookseller's Inventory # DADAX0471495956
  • ISBN 9780471495956 / 0471495956
  • Weight 1.24 lbs (0.56 kg)
  • Dimensions 8.54 x 5.63 x 0.42 in (21.69 x 14.30 x 1.07 cm)
  • Size 6.93x0.84x9.72
  • Category Business / Economics / Finance
  • Library of Congress subjects Interest rates - Mathematical models
  • Library of Congress Catalogue Number 2001039014
  • Dewey Decimal Code 332.820
  • Quantity available 1

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From the publisher

In der Regel boten festverzinsliche Wertpapiere einen festgelegten Cash-Flow. In den letzten Jahren wurden jedoch neue Formen festverzinslicher Wertpapiere entwickelt, bei denen der zu erwartende Cash-Flow vom jeweiligen Zinssatz abhngt, was die Bewertung dieser Wertpapiere entsprechend schwierig macht. Um diese Problematik besser in den Griff zu bekommen, wurde die Forschung im Bereich Zinssatzmodelle intensiviert, und es wurden neue Anstze zur Modellierung von Laufzeitstrukturen entwickelt.
Dieses Buch geht nicht, wie die gngige Standardliteratur von stochastischen Differentialgleichungs-Modellen aus, sondern konzentriert sich bei der Modellierung des Unsicherheitsfaktors auf die Optimierung dynamischer Systeme. Neue Entwicklungen auf dem Gebiet dynamischer Modelle ermglichen es, eine gro e Vielfalt komplexer Modelle zu analysieren, insbesondere im Finanzbereich. Die Autoren zeigen, wie man dynamische Modelle einsetzt, um die Laufzeitstruktur von Zinsstzen zu bestimmen und stellen den Vergleich her zu gngigen Standardverfahren. Sie erlutern aber nicht nur die Theorie, sondern bieten auch zahlreiche praktische Anwendungen und Beispiele. Die Begleit-CD enthlt die notwendige Software, mit der Sie Ihre eigenen numerischen Simulationen durchspielen knnen.

First line

In intertemporal exchange models an exchange of commodity 1 for commodity 2 represents a loan contract, the seller of 1 being the lender and the seller of 2 being the buyer.

About the author

KENNETH (KEN) O. KORTANEK is a John F. Murray Research Professor of Management Sciences at the University of Iowa, Henry B. Tippie College of Business. His academic career includes obtaining tenure at Cornell University's Department of Industrial Engineering and Operations Research in 1968, and a 10 year professorship in Carnegie Mellon University's Mathematics Department. Since 1962 he has published over 130 articles, a book, and several edited volumes on optimization, many of them financially supported by the U.S. National Science Foundation. He regularly acts as a consultant for large corporations.

VLADIMIR G. MEDVEDEV is a mathematician at OmniCADD, Inc. in Milwaukee, Wisconsin. During the last 10 years he was an Associate Professor in the Optimal Control Methods Department of the Belarussian State University. He holds a Ph.D. in the Physical-Mathematical Sciences from the Belarussian Academy of Sciences. In 1995 he received the Best Paper Award from the Belarussian Soros Foundation for a paper underlying his thesis. He was a Postdoctoral Associate in the Department of Management Sciences at the University of Iowa for the year 1997-1998.

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