Publisher's Synopsis
This work is a comprehensive collection that looks at the development of interest-rate models from 1992 to 2000. It covers interest-rate analysis in the light of increased computer power, investigates simulation processes such as random walks and Monte Carlo simulation, and details the development of three new ineterest-rate model types including the Markov decision process, extensions and generalizations to the Heath-Jarrow-Morton model and market models. The book also makes accessible advanced models that enable modellers to "complete the market" more efficiently when calculating interest rate securities and options' portfolios.
