Interest Rate Management,9783540675945

Interest Rate Management

by
ISBN13: 9783540675945
ISBN10: 3540675949
Format: Hardcover
Pub. Date: 2002-06-01
Publisher(s): Springer Nature
List Price: $139.99

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Summary

This book adresses the needs of both researchers and practitioners. It combines a rigorous overview of the mathematics of financial markets with an insight into the practical application of these models to the risk and portfolio management of interest-rate derivatives. It can also serve as a valuable textbook for graduate and PhD students in mathematics who want to get some knowledge about financial markets. The first part of the book is an exposition of advanced stochastic calculus. It defines the theoretical framework for the pricing and hedging of contingent claims with a special focus on interest-rate markets. The second part covers a selection of short and long-term oriented risk measures as well as their application to the risk management of interest -rate portfolios. Interesting and comprehensive case studies are provided to illustrate the theoretical concepts.

Table of Contents

Preface vii
Introduction
1(8)
I Mathematical Finance Background
Stochastic Processes and Martingales
9(34)
Stochastic Processes
10(10)
Stopped Stochastic Processes
20(3)
Stochastic Integrals
23(4)
Ito Calculus
27(4)
Martingale Representation
31(4)
The Feynman-Kac Representation
35(8)
Financial Markets
43(52)
The Financial Market Model
44(11)
Absence of Arbitrage
55(7)
Market Completeness
62(7)
Pricing and Hedging Contingent Claims
69(8)
The Generalized Black-Scholes Model
77(10)
Change of Numeraire
87(3)
The T-Forward Measure
90(5)
II Modelling and Pricing in Interest-Rate Markets
Interest-Rate Markets
95(62)
The Interest-Rate Market Model
96(5)
No-Arbitrage and Completeness
101(6)
Pricing Contingent Claims
107(2)
The Heath-Jarrow-Morton Framework
109(14)
The Heath-Jarrow-Morton Model
109(5)
No-Arbitrage and Completeness within the HJM Model
114(3)
The HJM Arbitrage-free Price System
117(1)
Forward Measures within the HJM Model
118(5)
One-Factor Models
123(19)
Short-Rate Models
123(4)
One-Factor Gaussian Models
127(7)
The Hull-White Model
134(8)
Multi-Factor Models
142(1)
LIBOR Market Models
143(12)
The Discrete-Tenor Model
145(4)
The Continuous-Tenor Model
149(6)
Credit Risk Models
155(2)
Interest-Rate Derivatives
157(70)
Daycount Conventions
158(1)
Coupon Bonds
159(3)
Forward Agreements on Coupon Bonds
162(3)
Interest-Rate Futures
165(16)
Short-Term Interest-Rate Futures
166(10)
Coupon Bond Futures
176(5)
Interest-Rate Swaps
181(10)
Floating Leg and Floating Rate Notes
182(2)
Fixed Leg
184(2)
Pricing Interest-Rate Swaps
186(2)
The Bootstrap Method
188(2)
Other Interest-Rate Swaps
190(1)
Interest-Rate Options
191(12)
Zero-Coupon Bond Options
191(3)
Caps and Floors
194(2)
Coupon-Bond Options
196(5)
Swaptions
201(2)
Interest-Rate Exotics
203(9)
Digital Options
204(4)
Dual-Strike Caps and Floors
208(1)
Contingent Premium Options
209(1)
Other Path-Independent Options
210(1)
Path-Dependent Options
211(1)
Market Information
212(15)
Term Structure
213(1)
Pricing Interest-Rate Options with Black's Model
214(2)
Black Prices and Volatilities
216(8)
Estimation of the Hull-White Model Parameters
224(3)
III Measuring and Managing Interest-Rate Risk
Risk Measures
227(46)
Sensitivity Measures
229(18)
First- and Second-Order Sensitivity Measures
229(3)
Black Deltas and Gammas
232(5)
Duration and Convexity
237(5)
Key-Rate Deltas and Gammas
242(4)
Other Sensitivity Measures
246(1)
Downside Risk Measures
247(6)
Lower Partial Moments
248(3)
Value at Risk
251(2)
Coherent Risk Measures
253(14)
Characterization of Coherent Risk Measures
254(3)
What About Value at Risk?
257(5)
Worst and Tail Conditional Expectations
262(5)
Reducing Dimensions
267(6)
Risk Management
273(48)
Sensitivity-Based Risk Management
273(24)
First- and Second-Order Hedging
274(3)
Duration-Based Hedging
277(6)
Key-Rate Delta and Gamma Hedging
283(14)
Downside Risk Management
297(24)
Risk Management Based on Lower Partial Moments
297(12)
Risk Management Based on Value at Risk
309(12)
Appendix
321(4)
References 325(8)
Index 333

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