A Fractional Heath-Jarrow-Morton Approach for Interest Rate Markets - Hargutt, Patrick P.
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Interest-rate modelling is a very complex task that has been intensified over the years. Many different approaches have been tested to capture interest rate movements with varying objectives, for instance the pricing of interest rate derivatives. In this book the author Patrick P. Hargutt introduces several interest-rate models whereas he focuses on the very general Heath-Jarrow-Morton model, which models forward rates. In order to achieve a better fit of the model to historic data this book deals in particular with the more complex fractional approach which incorporates a fractional Brownian…mehr

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Produktbeschreibung
Interest-rate modelling is a very complex task that has been intensified over the years. Many different approaches have been tested to capture interest rate movements with varying objectives, for instance the pricing of interest rate derivatives. In this book the author Patrick P. Hargutt introduces several interest-rate models whereas he focuses on the very general Heath-Jarrow-Morton model, which models forward rates. In order to achieve a better fit of the model to historic data this book deals in particular with the more complex fractional approach which incorporates a fractional Brownian motion. Therefore this book starts with the necessary mathematical preliminaries. The fractional approach is much more sophisticated than the classical case which is why Patrick P. Hargutt covers complexities like the no-arbitrage theory in detail. In turn the author will provide simulations for bond prices and a comparison to the classical case of the model and to other interest-rate models. This book aims both at quantitative trading desks, portfolio managers and at academic researchers in mathematical finance and their students.
Autorenporträt
Patrick P. Hargutt obtained his Diplom of Mathematical Finance and Economics at the Munich University of Technology and the Australian National University. He worked in the quantitative portfolio management of Allianz Global Investors and in fixed income trading at UBS. Currently he is doing his PhD in Finance at Imperial College London.