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A Fractional Heath-Jarrow-Morton Approach for Interest Rate Markets

 

Marketed By :  VDM Verlag Dr. Müller   Sold By :  Kamal Books International  
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  • Product Description
 

Interest-rate modelling is a very complex task that has been intensified over the years. Many different approaches have been tested to capture interest rate movements with varying objectives, for instance the pricing of interest rate derivatives. In this book the author Patrick P. Hargutt introduces several interest-rate models whereas he focuses on the very general Heath-Jarrow-Morton model, which models forward rates. In order to achieve a better fit of the model to historic data this book deals in particular with the more complex fractional approach which incorporates a fractional Brownian motion. Therefore this book starts with the necessary mathematical preliminaries. The fractional approach is much more sophisticated than the classical case which is why Patrick P. Hargutt covers complexities like the no-arbitrage theory in detail. In turn the author will provide simulations for bond prices and a comparison to the classical case of the model and to other interest-rate models. This book aims both at quantitative trading desks, portfolio managers and at academic researchers in mathematical finance and their students.

Product Specifications
SKU :COC21371
AuthorPatrick P. Hargutt
LanguageEnglish
BindingPaperback
Number of Pages104
Publishing Year12/22/2010
ISBN978-3639317909
Edition1 st
Book TypeStochastics
Country of ManufactureIndia
Product BrandVDM Verlag Dr. Müller
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-28 00:00:00