Description - Interest Rate Modelling by Jessica James
This book provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products. A series of introductory chapters reviews the theoretical background, pointing out the problems in using na?ve valuation and implementation techniques. There follows a full analysis of interest rate models including major categories, such as affine, HJM and market models, and in addition, lesser well known types that include Consol, random field and jump-augmented models. Implementation methods are discussed in depth including the latest developments in the use of finite difference, lattice and Monte Carlo methods and their particular application to the valuation of interest rate derivatives. Containing previously unpublished material. Interest Rate Modelling is a key reference work both for practitioners developing and implementing models for real and for academics teaching and researching in the field. Interest Rate Modelling is an encyclopedic treatment of interest rates and their related financial derivatives. It combines advanced theory with extensive and down-to-earth data analysis in a way which is truly unique.
For practitioners, students and scholars in the field, this impressive wok will be the standard reference for years to come.", Professor Tomas Bjork, , Stockholm School of Economics# "...an excellent book. I am particularly pleased by its breadth and range of topics...the reader is provided with an informative and readable exposition.", Dr Farshid Jamshidian, , NetAnalytic# "I particularly like the strong emphasis on the practicalities and calibration of interest rate models. This book will be invaluable as a comprehensive reference to students, researchers, and practitioners.", Professor Francis Longstaff, , The Anderson School at UCLA#" This is a carefully written, scholarly but fascinating presentation of the field of Interest Rate Modelling. It combines the best of two worlds: the rigour expected from finance in acamedia with the relevance expected from finance in practice. James and Webber are truly masters of their market since this book is surely a must-buy for both researchers and practitioners. If only all finance books were written with this care and attention to detail."
, Dr Neil Johnson, , Clarendon Laboratory, Oxford# "Today, interest rates are key economic instruments. This is a mammoth treatise and must surely rank as one of the most comprehensive available on the topic. Anyone interested in modelling or simulating the behaviour of interest rates, be they practitioner, economist, mathematician or new entrant to the subject, will find within a wealth of pertinent material.", Professor Peter Richmond, , Trinity College Dublin#
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(235mm x 161mm x 52mm)
John Wiley & Sons Ltd
Publisher: John Wiley and Sons Ltd
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Book Reviews - Interest Rate Modelling by Jessica James
Author Biography - Jessica James
JESSICA JAMES is Head of Research for Bank One's Strategic Risk Management group, based in the UK. Jessica started life as a physicist at Manchester University and completed her DPhil in Theoretical Atomic and Nuclear Physics at Christ Church, Oxford, under Professor Sandars. After a year as a college lecturer at Trinity, Oxford, she began work at he First National Bank of Chicago, now Bank One, where she still works. She is well known as a speaker on the conference circuit, lecturing on a variety of topics such as VaR, capital allocation, credit derivatives and interest rate modelling, and ahs published articles on various aspects of financial modelling. NICK WEBBER is a lecturer in Finance at Warwick Business School. Prior to his academic career, Nick has had extensive experience in the industrial and commercial world in operational research and computing. After obtaining a PhD in Theoretical Physics from Imperial College he began research into financial options. His main area of research centres on interest rate modelling and computational finance. He ahs taught practitioner and academic course for many years, chiefly on options and interest rates.