Building and Using Dynamic Interest Rate Models

The authors present a novel new approach to pricing interest rate securities. (The book) is well written and is easy to follow and understand. It′s a must read for those interested and involved in fixed income security valuation." –– William T. Ziemba, Alumni Professor of Financial Modeling and Stochastic Optimization, University of British Columbia
"Kortanek and Medvedev′s book presents an interesting approach to the individualisation of the models for the Yield Curve and for the Spot Rate by means of dynamic systems. This approach supplies an innovative calculation methodology for obtaining numeric solutions in certain important financial applications. I believe that these models can be considered a worthwhile instrument, "complementary" to the models based on stochastic equations." –– Professor G. Olivieri, Luiss "Guido Carli" University, Rome
Building and Using Dynamic Interest Rate Models provides a new approach to modeling the term structure of interest rates. Based on the rich history of work in control theory and the optimization of systems under uncertainty, the authors set out to develop a new class of models of this type for the term structure of interest rates. Designed to complement the stochastic processes approach, the authors provide both the theory and the practical modeling and computer implementation needed to successfully build and use term structure models. The book presents results on serious testing using software for predicting the spot rate, the forward rate and the entire interest rate yield surface based on observations taken during an arbitrarily specified time period.
Building and Using Dynamic Interest Rate Models is ideal reading for those involved in the fixed income securities markets, with an expanded view towards forecasting future commodity prices and volatilities.

Spis treści:
Preface.
Acknowledgments.
On the Conventional and Pure Multi–Period Loan S tructure.
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.

Nota biograficzna:
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.

Okładka tylna:
"The authors present a novel new approach to pricing interest rate securities. (The book) is well written and is easy to follow and understand. It′s a must read for those interested and involved in fixed income security valuation." –– William T. Ziemba, Alumni Professor of Financial Modeling and Stochastic Optimization, University of British Columbia
"Kortanek and Medvedev′s book presents an interesting approach to the individualisation of the models for the Yield Curve and for the Spot Rate by means of dynamic systems. This approach supplies an innovative calculation methodology for obtaining numeric solutions in certain important financial applications. I believe that these models can be considered a worthwhile instrument, "complementary" to the models based on stochastic equations." –– Professor G. Olivieri, Luiss "Guido Carli" University, Rome
Building and Using Dynamic Interest Rate Models provides a new approach to modeling the term structure of interest rates. Based on the rich history of work in control theory and the optimization of systems under uncertainty, the authors set out to develop a new class of models of this type for the term structure of interest rates. Designed to complement the stochastic processes approach, the authors provide both the theory and the practical modeling and computer implementation needed to successfully build and use term structure models. The book presents results on serious testing using software for predicting the spot rate, the forward rate and the entire interest rate yield surface based on observations taken during an arbitrarily specified time period.
Buildi ng and Using Dynamic Interest Rate Models is ideal reading for those involved in the fixed income securities markets, with an expanded view towards forecasting future commodity prices and volatilities.