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Books on the topic 'Interest rate models'

Author: Grafiati

Published: 4 June 2021

Last updated: 8 June 2024

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1

Cairns, Andrew. Interest rate models: An introduction. Princeton, NJ: Princeton University Press, 2003.

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2

Interest rate models: An introduction. Princeton, NJ: Princeton University Press, 2004.

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3

Interest rate modelling. New York: Palgrave Macmillan, 2004.

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4

Interest-rate option models: Understanding, analysing and using models for exotic interest-rate options. 2nd ed. Chichester: Wiley, 1998.

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5

Interest-rate option models: Understanding, analysing and using models for exotic interest-rate options. Chichester: Wiley, 1996.

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6

V, Piterbarg Vladimir, ed. Interest rate modeling. London: Atlantic Financial Press, 2010.

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7

Brigo, Damiano, and Fabio Mercurio. Interest Rate Models Theory and Practice. Berlin, Heidelberg: Springer Berlin Heidelberg, 2001. http://dx.doi.org/10.1007/978-3-662-04553-4.

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8

Brooks, Robert Edwin. Interest rate modeling and the risk premiums in interest rate swaps. Charlottesville, Va., U.S.A: Research Foundation of the Institute of Chartered Financial Analysts, 1997.

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9

Bernanke, Ben. On the predictive power of interest rates and interest rate spreads. Cambridge, MA: National Bureau of Economic Research, 1990.

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10

Benhabib, Jess. Backward-looking interest-rate rules, interest-rate smoothing, and macroeconomic instability. Cambridge, Mass: National Bureau of Economic Research, 2003.

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11

J, Cornyn Anthony, and Mays Elizabeth, eds. Interest rate risk models: Theory and practice. Chicago: Glenlake Publ. Co., 1997.

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12

Sullivan, Michael A. Discrete-time continuous-state interest rate models. Washington, DC: Office of the Comptroller of the Currency, 2000.

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13

International term structure models: Global models of interest rate and foreign exchange rate risk. Bern: Verlag Paul Haupt, 1999.

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14

An elementary introduction to stochastic interest rate modeling. Singapore: World Scientific, 2008.

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15

Nawalkha, Sanjay K. Interest Rate Risk Modeling. New York: John Wiley & Sons, Ltd., 2005.

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16

Pietersz, Raoul. Pricing Models for Bermudan-Style Interest Rate Derivatives. [Rotterdam]: Erasmus Research Institute of Management (ERIM), Erasmus University Rotterdam: Erasmus University Rotterdam [Host], 2005.

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17

Federer, Vaaler Leslie Jane, ed. Mathematical interest theory. Upper Saddle River, N.J: Pearson/Prentice Hall, 2007.

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18

Solé, Juan. Interest rate defenses of currency pegs. [Washington, D.C.]: International Monetary Fund, International Capital Markets, 2004.

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19

Rose, Ngugi, ed. Banking sector interest rate spread in Kenya. Nairobi, Kenya: Kenya Institute for Public Policy Research and Analysis, 2000.

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20

Svensson, Lars E. O. Target zones and interest rate variability. Cambridge, MA: National Bureau of Economic Research, 1989.

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21

Benhabib, Jess. Chaotic interest rate rules: Expanded version. Cambridge, MA: National Bureau of Economic Research, 2004.

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22

Meredith, Guy. Long-horizon uncovered interest rate parity. Cambridge, MA: National Bureau of Economic Research, 1998.

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23

W, Daniel James, ed. Mathematical Interest Theory. 2nd ed. Washington, DC: Mathematical Association of America, 2008.

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24

Obstfeld, Maurice. Pricing-to-market, the interest-rate rule, and the exchange rate. Cambridge, Mass: National Bureau of Economic Research, 2006.

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25

Filipović, Damir. Consistency Problems for Heath-Jarrow-Morton Interest Rate Models. Berlin, Heidelberg: Springer Berlin Heidelberg, 2001. http://dx.doi.org/10.1007/b76888.

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26

Aït-Sahalia, Yacine. Testing continuous-time models of the spot interest rate. Cambridge, MA: National Bureau of Economic Research, 1995.

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27

Ge, Zhong. A numerical study of one-factor interest rate models. Ottawa: National Library of Canada, 1998.

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28

Understanding and managing interest rate risks. Singapore: World Scientific, 1996.

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29

Dua, Pami. Interest rate modelling and forecasting in India. Mumbai: Dept. of Economic Analysis and Policy, Reserve Bank of India, 2003.

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30

Edwards, Sebastian. Interest rate volatility, capital controls and contagion. Cambridge, MA: National Bureau of Economic Research, 1998.

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31

Interest rate modeling theory and practice. Boca Raton, FL: CRC Press, 2009.

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32

The valuation of interest rate derivative securities. London: Routledge, 1996.

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33

Rebelo, Sergio. On the optimality of interest rate smoothing. Cambridge, MA: National Bureau of Economic Research, 1997.

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34

Paisley, Joanna. A Model of building society interest rate setting. (London): Bank of England, 1994.

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35

Interest rate dynamics, derivatives pricing, and risk management. Berlin: Springer, 1996.

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36

Stapleton, Richard C. The analysis and valuation of interest rate options. Fontainebleau: INSEAD, 1992.

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37

Carlstrom, Charles T. Investment and interest rate policy: A discrete time analysis. [Cleveland, Ohio]: Federal Reserve Bank of Cleveland, 2004.

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38

Hendershott, Patric H. The continued interest rate: Vulnerability of thrifts. Cambridge, MA: National Bureau of Economic Research, 1990.

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39

Aït-Sahalia, Yacine. Nonparametric pricing of interest rate derivative securities. Cambridge, MA: National Bureau of Economic Research, 1995.

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40

Diba, Behzad. Money, inflation and the expected real interest rate. [Philadelphia]: Federal Reserve Bank of Philadelphia, 1989.

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41

Basurto, Gabriela. The interest rate-exchange rate nexus in the Asian crisis countries. [Washington, D.C.]: International Monetary Fund, Policy Development and Review Dept., 2000.

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42

Ji yu VaR he ES de li lü feng xian du liang: Risk measure of interest rate based on VaR and ES model. Beijing Shi: Jing ji ke xue chu ban she, 2011.

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43

J, Fabozzi Frank, ed. Interest rate, term structure, and valuation modeling. Hoboken, N.J: Wiley, 2002.

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44

Parrado, Eric. Optimal interest rate policy in a small open economy. Cambridge, MA: National Bureau of Economic Research, 2002.

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45

Ng, Siang. The rate of uncertainty is more important than the rate of interest in affecting investment. Caulfield East, Vic: Monash University, Dept. of Banking & Finance, 1995.

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46

Murray, John. International interest rate linkages and monetary policy: A Canadian perspective. [Ottawa]: Bank of Canada, 1989.

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47

Murray, John. International interest rate linkages and monetary policy: A Canadian perspective. [Ottawa]: Bank of Canada, 1989.

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48

Pricing interest-rate derivatives: A Fourier-transform based approach. Berlin: Springer, 2008.

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49

Rotemberg, Julio. Interest-rate rules in an estimated sticky price model. Cambridge, MA: National Bureau of Economic Research, 1998.

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50

Modelling fixed income securities and interest rate options. New York: McGraw-Hill, 1996.

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