The Valuation of Interest Rate Derivative Securities

by Jeroen F. J. De Munnik

Overview

The increased volatility of interest rates during recent years and the corresponding introduction of a variety of interest rate derivative securities like bond options, futures and embedded options in mortgages, underlines the need for a comprehensive financial theory to determine values of fixed income instruments and derivative securities consistently. This book provides: * a detailed overview and classification of the different approaches to value interest rate dependent securities * a comparison of the numerical approaches to value complex securities * an empirical examination for the Dutch Fixed Income Market of some well-known interest rate models which demonstrates recent improvements to describe interest rate movements in relation to contingent claim valuation.

Product Details

ISBN-13:	9781134775910
Publisher:	Taylor & Francis
Publication date:	10/18/2005
Series:	Routledge New Advances in Economics
Sold by:	Barnes & Noble
Format:	eBook
Pages:	200
File size:	6 MB

About the Author

Completed his Ph.D. thesis The Valuation of Interest Rate Derivative Securities’ in 1992. During his Ph.D. study he worked for J.P.Morgan Securities Inc. in New York and published in the Journal of Banking and Finance. Currently, he is working as a financial controller at Spaarbeleg Bank, a 100 per cent subsidiary of AEGON Insurance.

Table of Contents

1. Introduction Part I: The Theoretical Valuation of Interest Rate Derivative Securities 2. Arbitrage Opportunities and the Valuation of Contingent Claims 3. An Overview of the Valuation of Interest Rate Derivative Securities 4. Modelling Bond Prices 5. Modelling the Term Structure of Interest Rates 6. Numerical Methods to Value Interest Rate Derivative Securities Part II: Empirical Results of the Estimation of Interest Rate Dynamics 7. Estimating the Term Structure of Interest Rates: A Time Series Analysis 8. Estimating the Term Structure of Interest Rates: A Cross-Sectional Analysis 9. Estimating the Term Structure of Interest Rate Volatilities: Principal Components 10. Conclusions and Further Research References