Jessica James is an award-winning author of suspense/thrillers, historical fiction, and heartwarming Southern novels. She is a four-time winner of the John Esten Cooke Award for Southern Fiction, and has won more than a dozen other literary awards, including a Readers' Favorite International Book Award and a Gold Medal from the Military Writers Society of America. Her novels are clean reads with emotional plots, fascinating characters, jaw-dropping twists, and occasional touches of heart-warming romance.

Part I: Introduction to interest rate modelling

1. Introduction to interest rates

Interest rate behaviour; Basic concepts; Interest rate markets; Historical and current data; Uses of interest rate models; Conclusion

2. Interest rates in history

Interest rates in monetary history; Characteristics of interest rate behaviour

3. Introduction to interest rate modelling

Yield curve basics; Describing interest rate processes; Introducton to interest rate models; Categories of interest rate model; The role of the short rate

4. Interest rate models: theory

Summary of valuation

A theoretical market framework; Fundamentals of pricing; valuing by change of numeraire; Derivatives in the extended Vasicek model

5. Basic modelling tools

Introduction to valuation; Introduction to estimation; Statistical tests; Yield curve stripping; The convexity adjustment

6. Densities and distributions

The density function; Kernel methods; Boundary behaviour; Interest rate models at extreme values of interest rates; Tail distributions

Part II Interest rate models

7. Affine models

Affine term structure models; Interpreting the state variables; Types of affine model; Examples of one-factor affine models; Examples of n-factor affine models; A general framework for affine models

8. Market models and the Heath, Jarrow and Morton framework

Introduction to the Heath, Jarrow and Morton model; Volatility functions in HJM; Market models; General market models

9. Other interest rate models

Consol models; Price kernet models; Positive interest rate models; Non-linear models

10. General formulations of interest rate models

Jump processes; Random field models; A general model; Jump models

11. Economic models

Economics and interest rates

An economically motivated financial model of interest rates; An IS-LM based model; IS-LM, hyperinflation and extended Vasicek; The general equilibrium framework; Interpreting the price kernel

Part III Valuation methods

12. Finite difference methods

The Feynman-Kac Equation; Discretising the PDE; Simplifying the PDE; Explicit methods; Implicit methods; The Crank-Nicolson method; Comparison of methods; Implicit boundary conditions; Fitting to an initial term structure; Finite difference methods in N dimensions; Operator splitting; A two-dimensional PDE; Solving a PDDE

13. Valuation: the Monte Carlo method

The basic Monte Carlo method; Speed-up methods; Sampling issues; Simulation methods for HJM models

14. Lattice methods

Introduction to lattice methods; Issues in constructing a lattice; Examples of lattice methods; Calibration to market prices; The explicit finite difference method; Lattices and the Monte Carlo method; Non-recombining lattices; Conclusions

Part IV Calibration and estimation

15. Modelling the yield curve

Stripping the yield curve; Fitting using parameterised curves; Fitting the yield curve using splines; Nelson and Siegel curves; Comparison of families of curves; Kernel methods of yield curve estimations; LP and regression methods

16. Principal components analysis

Volatility structures; Identifying empirical volatility factors; Calibrating whole yield curve methods; Processes on manifolds; Analysis of dynamical systems; Conclusions

17. Estimation methods: GMM and ML

GMM estimation; Implementation issues; The efficient method of moments (EMM); Maximum likelihood methods; Hierarchy of procedures

18. Further estimation methods

Introduction; Filtering approaches to estimation; The extended Kalman Filter; GARCH models; Extensions of GARCH; Interest rate models and GARCH; Artificial neural nets (ANNs)

19. Interest rates and implied pricing

Problems with interest rate models; Key relationships; The interest rate case; The implied pricing method; Regularisation functions; Patching tails onto pricing densities

Afterword

Notation

Glossary of mathematical, market and model terms

References

Author Index

Subject Index