|
Heath–Jarrow–Morton Framework
The Heath–Jarrow–Morton (HJM) framework is a general framework to model the evolution of interest rate curves – instantaneous forward rate curves in particular (as opposed to simple forward rates). When the volatility and drift of the instantaneous forward rate are assumed to be deterministic, this is known as the Gaussian Heath–Jarrow–Morton (HJM) model of forward rates. For direct modeling of simple forward rates the Brace–Gatarek–Musiela model represents an example. The HJM framework originates from the work of David Heath, Robert A. Jarrow, and Andrew Morton in the late 1980s, especially ''Bond pricing and the term structure of interest rates: a new methodology'' (1987) – working paper, Cornell University, and ''Bond pricing and the term structure of interest rates: a new methodology'' (1989) – working paper (revised ed.), Cornell University. It has its critics, however, with Paul Wilmott describing it as "...actually just a big rug for is ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Interest Rate
An interest rate is the amount of interest due per period, as a proportion of the amount lent, deposited, or borrowed (called the principal sum). The total interest on an amount lent or borrowed depends on the principal sum, the interest rate, the compounding frequency, and the length of time over which it is lent, deposited, or borrowed. The annual interest rate is the rate over a period of one year. Other interest rates apply over different periods, such as a month or a day, but they are usually annualized. The interest rate has been characterized as "an index of the preference . . . for a dollar of present ncomeover a dollar of future income". The borrower wants, or needs, to have money sooner, and is willing to pay a fee—the interest rate—for that privilege. Influencing factors Interest rates vary according to: * the government's directives to the central bank to accomplish the government's goals * the currency of the principal sum lent or borrowed * the term to m ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Fubini's Theorem
In mathematical analysis, Fubini's theorem characterizes the conditions under which it is possible to compute a double integral by using an iterated integral. It was introduced by Guido Fubini in 1907. The theorem states that if a function is Lebesgue integrable on a rectangle X\times Y, then one can evaluate the double integral as an iterated integral:\, \iint\limits_ f(x,y)\,\text(x,y) = \int_X\left(\int_Y f(x,y)\,\texty\right)\textx=\int_Y\left(\int_X f(x,y) \, \textx \right) \texty. This formula is generally not true for the Riemann integral, but it is true if the function is continuous on the rectangle. In multivariable calculus, this weaker result is sometimes also called Fubini's theorem, although it was already known by Leonhard Euler. Tonelli's theorem, introduced by Leonida Tonelli in 1909, is similar but is applied to a non-negative measurable function rather than to an integrable function over its domain. The Fubini and Tonelli theorems are usually combined and for ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
The Journal Of Fixed Income
''The Journal of Fixed Income'' is a quarterly academic journal that covers quantitative research on fixed income instruments: mortgage-backed securities, high-yield debt, municipal bonds, corporate bonds, asset-backed securities, and global bonds. Its editor-in-chief is Stanley J. Kon (Smith Breeden Associates) and its founding editor was Douglas T. Breeden (Fuqua School of Business at Duke University). It is published by Euromoney Institutional Investor Delinian (formerly Euromoney Institutional Investor) is a British financial media company that has interests in business and financial publishing and event organisation. , it was one of Europe's largest business and financial information comp .... External links * {{DEFAULTSORT:Journal Of Fixed Income, The Finance journals Academic journals established in 1991 Quarterly journals English-language journals ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Wyższa Szkoła Biznesu – National-Louis University
Wyższa Szkoła Biznesu – National-Louis University (WSB-NLU) — non-public university, one of the first non-public higher education schools in Poland. The university offers bachelor's, engineer's and master's degree in the following fields: computer science, management, psychology, law and postgraduate studies including MBA program.WSB-NLU was the first university in Poland to offer an American diploma of Bachelor of Arts in addition to the Polish diploma and the first to offer its students a virtual dean's office and an electronic student record book. Currently, the university operates on the basis of the Cloud Academy™ management system, awarded during the 11th edition of the Highest Quality QI 2017 competition as the largest pro-quality program in Poland.The competition is organized under the patronage of the Department of Quality Management at the Cracow University of Economics, the Polish Committee for Standardization and the Polish Agency for Enterprise Development. Th ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Louisiana State University
Louisiana State University and Agricultural and Mechanical College, commonly referred to as Louisiana State University (LSU), is an American Public university, public Land-grant university, land-grant research university in Baton Rouge, Louisiana, United States. The university was founded in 1860 near Pineville, Louisiana, under the name Louisiana State Seminary of Learning & Military Academy. The current LSU main campus was dedicated in 1926 and consists of more than 250 buildings constructed in the style of Renaissance, Italian Renaissance architect Andrea Palladio, occupying a plateau on the banks of the Mississippi River. LSU is the Flagship campus, flagship university of the state of Louisiana, as well as the flagship institution of the Louisiana State University System. In 2021, the university enrolled over 28,000 undergraduate and more than 4,500 graduate students in 14 schools and colleges. It is Carnegie Classification of Institutions of Higher Education, classified ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
University Of Technology Sydney
The University of Technology Sydney (UTS) is a public university, public research university located in Sydney, New South Wales, Australia. The university was founded in its current form in 1988, though its origins as a Institute of technology, technical institution can be traced back to the 1870s. UTS is a founding member of the Australian Technology Network (ATN), and is a member of Universities Australia (UA) and the Worldwide Universities Network (WUN). The university is organised into 9 Faculty (division), faculties and schools, which together administers 130 Undergraduate education, undergraduate courses and 210 Postgraduate education, postgraduate courses. In 2023, the university enrolled 47,913 students, including 33,579 undergraduate students. The university is home to over 45 Research institute, research centres and institutes, who regularly Business-education partnerships, collaborates along with industry and government partners. UTS recognises more than 180 differen ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Econometrica
''Econometrica'' is a peer-reviewed academic journal of economics, publishing articles in many areas of economics, especially econometrics. It is published by Wiley-Blackwell on behalf of the Econometric Society. The current editor-in-chief is Guido Imbens. History ''Econometrica'' was established in 1933. Its first editor was Ragnar Frisch, recipient of the first Nobel Memorial Prize in Economic Sciences in 1969, who served as an editor from 1933 to 1954. Although ''Econometrica'' is currently published entirely in English, the first few issues also contained scientific articles written in French. Indexing and abstracting ''Econometrica'' is abstracted and indexed in: * Scopus * EconLit * Social Sciences Citation Index According to the ''Journal Citation Reports'', the journal has a 2020 impact factor The impact factor (IF) or journal impact factor (JIF) of an academic journal is a type of journal ranking. Journals with higher impact factor values are considered mo ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Review Of Futures Markets
A review is an evaluation of a publication, product, service, or company or a critical take on current affairs in literature, politics or culture. In addition to a critical evaluation, the review's author may assign the work a rating to indicate its relative merit. Reviews can apply to a movie, video game, musical composition, book; a piece of hardware like a car, home appliance, or computer; or software such as business software, sales software; or an event or performance, such as a live music concert, play, musical theater show, dance show or art exhibition. Online review platforms also aim to provide a space where buyers can share authentic experiences—positive or negative—and businesses can use this feedback to improve their services. In the cultural sphere, ''The New York Review of Books'', for instance, is a collection of essays on literature, culture, and current affairs. In academia User review A user review refers to a review written by a user or consumer of ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Journal Of Financial And Quantitative Analysis
The ''Journal of Financial and Quantitative Analysis'' is a peer-reviewed academic journal published eight times a year by the Michael G. Foster School of Business at the University of Washington in cooperation with the W. P. Carey School of Business at Arizona State UniversityBoston College the Sauder School of Business, and th Uni ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Hull–White Model
In financial mathematics, the Hull–White model is a model of future interest rates. In its most generic formulation, it belongs to the class of no-arbitrage models that are able to fit today's term structure of interest rates. It is relatively straightforward to translate the mathematical description of the evolution of future interest rates onto a tree or lattice and so interest rate derivatives such as bermudan swaptions can be valued in the model. The first Hull–White model was described by John C. Hull and Alan White in 1990. The model is still popular in the market today. The model One-factor model The model is a short-rate model. In general, it has the following dynamics: :dr(t) = \left theta(t) - \alpha(t) r(t)\right,dt + \sigma(t)\, dW(t). There is a degree of ambiguity among practitioners about exactly which parameters in the model are time-dependent or what name to apply to the model in each case. The most commonly accepted naming convention is the following: ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Ho–Lee Model
In financial mathematics, the Ho-Lee model is a short-rate model widely used in the pricing of bond options, swaptions and other interest rate derivatives, and in modeling future interest rates. It was developed in 1986 by Thomas Ho and Sang Bin Lee. Under this model, the short rate follows a normal process: :dr_t = \theta_t\, dt + \sigma\, dW_t The model can be calibrated to market data by implying the form of \theta_t from market prices, meaning that it can exactly return the price of bonds comprising the yield curve. This calibration, and subsequent valuation of bond options, swaptions and other interest rate derivatives, is typically performed via a binomial lattice based model. Closed form valuations of bonds, and " Black-like" bond option formulae are also available.Graeme West, (2010)''Interest Rate Derivatives'', Financial Modelling Agency. As the model generates a symmetric ("bell shaped") distribution of rates in the future, negative rates are possible. Further, ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Cheyette Model
In mathematical finance, the Cheyette Model is a quasi-Gaussian, quadratic volatility model of interest rate An interest rate is the amount of interest due per period, as a proportion of the amount lent, deposited, or borrowed (called the principal sum). The total interest on an amount lent or borrowed depends on the principal sum, the interest rate, ...s intended to overcome certain limitations of the Heath-Jarrow-Morton framework. By imposing a special time dependent structure on the forward rate volatility function, the Cheyette approach allows for dynamics which are Markovian, in contrast to the general HJM model. This in turn allows the application of standard econometric valuation concepts. External links and references * * Cheyette, O. (1994)''Markov representation of the Heath-Jarrow-Morton model''(working paper). Berkeley: BARRA Inc. * Chibane, M. and Law, D. (2013)''A quadratic volatility Cheyette model'' Risk.net Financial models Mathematical finance Fixe ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
