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Term Structure Modeling and Estimation in a State Space Framework
Springer 2006; US$ 94.99Presents a series of models of the term structure of interest rates, covering both theory and estimation in a unified framework. Special emphasis is placed on models, which are driven by innovations that have a Gaussian mixture distribution. These models are able to flexibly capture the observed non-normality in the distribution of bond yields. more...
Engineering BGM
Taylor & Francis 2007; US$ 94.95Also known as the Libor market model, the Brace-Gatarek-Musiela (BGM) model is becoming an industry standard for pricing interest rate derivatives. Written by one of its developers, Engineering BGM builds progressively from simple to more sophisticated versions of the BGM model, offering a range of methods that can be programmed into production code... more...
Interest Rate Models ¿ Theory and Practice
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG 2007; US$ 84.99Contains a calibration discussion of the basic LIBOR market model, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. This work also includes a discussion of historical estimation of the instantaneous correlation matrix and of rank reduction. more...
Verlichtende resonanties in complexe harmonieën
Amsterdam University Press 2002; US$ 10.50Zinsstrukturmodelle: Ein empirischer Vergleich
Diplomica Verlag 2011; US$ 38.19Hauptbeschreibung Ein zentrales Konzept der Betriebswirtschaftslehre bildet das Barwertprinzip. Dieses wird zur Beantwortung einer Vielzahl von Fragestellungen herangezogen, wie z.B. der Bewertung von Finanztiteln oder die Vorteilhaftigkeit einer Investition. Ziel ist die Bestimmung des gegenwärtigen Werts in Zukunft liegender Zahlungsströme, indem... more...
Wucher und Staat.
Duncker & Humblot 2009; US$ 71.74Hauptbeschreibung Ist der Staat berechtigt, auf den Inhalt von Vertragsvereinbarungen im Kreditwesen durch den Erlass von Wuchergesetzen Einfluss zu nehmen? Welche Maßnahmen sollte der Staat zu deren Ergänzung bzw. anstelle von Wuchergesetzen ergreifen, damit sich Darlehensnehmer nicht überhöhten Zinsforderungen ihrer Vertragspartner ausgesetzt sahen?... more...
Interest Rate Modelling
Palgrave Macmillan 2003; US$ 304.00Growth in the derivatives market has brought with it a greater volume and range of interest rate dependent products. These products have become increasingly innovative and complex to price, requiring sophisticated market models that capture the full dynamics of the yield curve. A study of the evolution of interest rate modelling theory places these... more...
Against Usury
SPCK 2010; US$ 14.57Robert Van de Weyer argues that humanity faces a trio of chronic crises -- economic, ecological, and in the provision of welfare services -- whose causes are various connected forms of usury. Following the religious teaching of Christianity and Islam, which have traditionally condemned usury as the fundamental source of social injustice, he defines... more...
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