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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 istake ... [...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 rather than later, 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 * ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
University Of Pennsylvania
The University of Pennsylvania (also known as Penn or UPenn) is a private research university in Philadelphia. It is the fourth-oldest institution of higher education in the United States and is ranked among the highest-regarded universities by numerous organizations and scholars. While the university dates its founding to 1740, it was created by Benjamin Franklin and other Philadelphia citizens in 1749. It is a member of the Ivy League. The university has four undergraduate schools as well as twelve graduate and professional schools. Schools enrolling undergraduates include the College of Arts and Sciences, the School of Engineering and Applied Science, the Wharton School, and the School of Nursing. Among its highly ranked graduate schools are its law school, whose first professor wrote the first draft of the United States Constitution, its medical school, the first in North America, and Wharton, the first collegiate business school. Penn's endowment is US$20.7 billio ... [...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 Euromoney Institutional Investor PLC is one of Europe's largest business and financial information companies which has interests in business and financial publishing and event organization. It was listed on the London Stock Exchange and was a c .... External links * {{DEFAULTSORT:Journal Of Fixed Income,The Finance journals Publications 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 (officially Louisiana State University and Agricultural and Mechanical College, commonly referred to as LSU) is a public land-grant research university in Baton Rouge, Louisiana. 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, consists of more than 250 buildings constructed in the style of Italian Renaissance architect Andrea Palladio, and the main campus historic district occupies a plateau on the banks of the Mississippi River. LSU is the flagship school of the state of Louisiana, as well as the flagship institution of the Louisiana State University System, and is the most comprehensive university in Louisiana. In 2021, the university enrolled over 28,000 undergraduate and more than 4,500 graduate students in 14 schools and colleges. Several of LSU's graduate schools, such as the E. J. Ourso College of Business ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
University Of Technology Sydney
The University of Technology Sydney (UTS) is a public research university located in Sydney, New South Wales, Australia. Although its origins are said to trace back to the 1830s, the university was founded in its current form in 1988. As of 2021, UTS enrols 45,221 students through its 9 faculties and schools. The university is regarded as one of the world's leading young universities (under 50 years old), ranked 1st in Australia and 11th in the world by the 2021 QS World University Rankings Young Universities. UTS is a founding member of the Australian Technology Network, and is a member of Universities Australia and the Worldwide Universities Network. History The University of Technology Sydney originates from the Sydney Mechanics' School of Arts (the oldest continuously running Mechanics' Institute in Australia), which was established in 1833. In the 1870s, the School formed the Workingman's College, which was later taken over by the NSW government to form, in 1882, the Sy ... [...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 Science Citation Index According to the ''Journal Citation Reports'', the journal has a 2020 impact factor of 5.844, ranking it 22/557 in the category "Economics". Awards issued The Econometric Society aims to attract high-quality applied work in economics for publication in ''Eco ... [...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. A compilation of reviews may itself be called a review. Reviews can apply to a movie (a movie review), video game (video game review), musical composition ( music review of a composition or recording), book (book review); 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 In the cultural sphere, ''The New York Review of Books'', for instance, is a collection of essays on literature, culture, and current affairs. ''National Review'', founded by William F. Buckley Jr., is a conservative magazine, and ''Monthly Review'' is a long-runnin ... [...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 bimonthly academic journal published 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 University and the University of North Carolina's Kenan-Flagler Business School. It publishes theoretical and empirical research in financial economics. Topics include corporate finance, investments, capital markets, securities markets, and quantitative methods of particular relevance to financial researchers. See also *William Sharpe Award The William F. Sharpe Award for Scholarship in Financial Research is an award given each year to the author of the research article published in the ''Journal of Financial and Quantitative Analysis'' (JFQA) which has made the most important contribu ... References *. *. *. *. *. * External links Journal home page {{DEFAULTSORT:Financial and Quantitative Analysis, Journal of Finance ... [...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, i ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
