Building and Using Dynamic Interest Rate Models

Building and Using Dynamic Interest Rate Models

ISBN: 9780471495956
Publisher: Wiley
Edition: 1
Publication Date: 2001-11-12
Number of pages: 240
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DESCRIPTION

This book offers a new approach to interest rate and modeling term structure by using
models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical
simulations. It includes software that will enable readers to simulate the various models covered in the book.

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