The valuation of interest rate derivative securities [1 ed.] 0415137276, 9780415137270, 9780203982778

The increased volatility of interest rates during recent years and the corresponding introduction of a variety of intere

253 5 313KB

English Pages 195 Year 1996

Table of contents :
BOOK COVER......Page 1
HALF-TITLE......Page 2
SERIES......Page 3
TITLE......Page 4
COPYRIGHT......Page 5
CONTENTS......Page 6
LIST OF FIGURES......Page 7
LIST OF TABLES......Page 9
LIST OF SYMBOLS......Page 10
PREFACE......Page 12
1 INTRODUCTION......Page 14
Part I THE THEORETICAL VALUATION OF INTEREST RATE DERIVATIVE SECURITIES......Page 19
2 ARBITRAGE OPPORTUNITIES AND THE VALUATION OF CONTINGENT CLAIMS......Page 20
3 AN OVERVIEW OF THE VALUATION OF INTEREST RATE DERIVATIVE SECURITIES......Page 45
4 MODELLING BOND PRICES......Page 51
5 MODELLING THE TERM STRUCTURE OF INTEREST RATES......Page 73
6 NUMERICAL METHODS TO VALUE INTEREST RATE DERIVATIVE SECURITIES......Page 122
Part II EMPIRICAL RESULTS OF THE ESTIMATION OF INTEREST RATE DYNAMICS......Page 153
7 ESTIMATING THE TERM STRUCTURE OF INTEREST RATES: A TIME SERIES ANALYSIS......Page 154
8 ESTIMATING THE TERM STRUCTURE OF INTEREST RATES: A CROSS-SECTIONAL ANALYSIS......Page 164
9 ESTIMATING THE TERM STRUCTURE OF INTEREST RATE VOLATILITIES: PRINCIPAL COMPONENTS......Page 178
10 CONCLUSIONS AND FURTHER RESEARCH......Page 185
REFERENCES......Page 190
INDEX......Page 193

The valuation of interest rate derivative securities [1 ed.]
0415137276, 9780415137270, 9780203982778

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Jeroen F. J. De Munnik

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