Building and Using Dynamic Interest Rate Models [With CD-ROM] - Ken O. Kortanek

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Résumé :
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 abh?ngt, 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 Ans?tze zur Modellierung von Laufzeitstrukturen entwickelt. Dieses Buch geht nicht, wie die g?ngige 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 erm?glichen es, eine gro?e Vielfalt komplexer Modelle zu analysieren, insbesondere im Finanzbereich. Die Autoren zeigen, wie man dynamische Modelle einsetzt, um die Laufzeitstruktur von Zinss?tzen zu bestimmen und stellen den Vergleich her zu g?ngigen Standardverfahren. Sie erl?utern aber nicht nur die Theorie, sondern bieten auch zahlreiche praktische Anwendungen und Beispiele. Die Begleit-CD enth?lt die notwendige Software, mit der Sie Ihre eigenen numerischen Simulationen durchspielen k?nnen.

Biographie:
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.

Sommaire:
Preface. Acknowledgments. On the Conventional and Pure Multi-Period Loan Structure. Differential System Models for Asset Prices Under Uncertainty. Constant Maturity, One-Factor Dynamic Models for Term Structure Estimations. Constant Maturity, Bilevel Models for Term Structure Estimation. Numerical Experiements with One-Factor and Bilevel Models for Extended Periods of Observations. Modeling Nonarbitrage and Market Price of Risk in Linear Differential Systems. Characteristics of Moments in Linear Dynamical Systems Under Uncertainty with Perturbations. Backtesting with Treasury Auction Data. A Forward Rates-Based Dynamical System Model. A General Integro-Differential Term Structure Model. Applications to Pricing Futures Fairly and Trading Futures Contracts. Using Term Structure Estimation in Dynamic Interest Rate Models and Hedging Strategies. A Review of Semi-Infinite Optimization with a Focus on Finance. Software Documentation of the Term Structure, Constant Maturity Models. Software Documentation of the Forward Rate Model References. Index.