The New Interest Rate Models : Recent Developments in the theory and Application of Yield Curve Dynamics

A comprehensive collection that looks at the development of interest-rate models from 1992 to present. *Covers interest-rate analysis in the light of increased computer power *Investigates simulation processes, ie random walks and Monte Carlo simulation *Details the development of three new interest-rate model types including the Markov decision process, extensions and generalisations to the Heath-Jarrow-Morton model and market models *Makes accessible advanced models that enable modellers to "complete the market" more efficiently when calculating interest rate securities and options' portfolios *Analysis of Heath-Jarrow-Morton extensions