This volume covers developments in the interest rate markets, with descriptions and implementation techniques for all the major classes of interest rate models. It covers those models already in practice, as well as theoretical models. The major categories of interest rate models analysed include: Affine models; HJM models; market models; Consol-based models; and lesser known types such as random field models, jump-augmented models, price kernel/positive models, and official rate models. Implementation methods are also discussed in full, including the latest developments in the use of finite difference methods, Monte Carlo methods and lattice methods, and their particular application to the valuation of interest rate derivatives.
Practitioner seminars by James, a physicist now working for a British bank, and a series of doctoral lectures by Webber (finance, Warwick Business School) formed the seed of the text for graduate courses and reference for practitioners. They lay out the main concepts in interest rate modelling and implementation to help readers understand and begin to implement virtually any model either for real applications or to use in research. Among their topics are advanced implementation and calibration methods, existing term structure models, theoretical underpinnings, and research issues. Much the information has only been available in academic or trade journals. Annotation c. Book News, Inc., Portland, OR (booknews.com)