Interest Rate Modelling

By J. James, Nick Webber. 2000

173 citations recorded by the source corpus.

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Lapse rate modeling: a rational expectation approach (2008, unknown): “With regard to the choice of the finite difference scheme, we opt for the Alternating Direction Implicit (ADI) method described in James and Webber (2000) (which belongs to the general class of operator splitting schemes):”
Restructuring Risk in Credit Default Swaps: An Empirical Analysis (2007, unknown): “Zero-coupon bond prices are stripped from the constant maturity Treasury rate curve by assuming piecewise linear forward rate curve, see James and Webber (2000) for other zero-coupon bond stripping methods.”
A Theoretical Foundation for the Nelson and Siegel Class of Yield Curve Models (2012, unknown): “…Settlements (2005) provides an overview of the routine use of NS models by many central banks, and NS models appear in standard textbooks aimed at nancial market practitioners and university students, e.g. James and Webber (2000), Nawalkha, Soto and Beliaeva (2005), Nyholm (2008), and Munk (2011).”
A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING (2004, background): “…suggests that the present model does not share the problem that the Black and Karasinski model has with infinite futures prices (see, e.g., Hunt and Kennedy 2000, p. 322) and infinite expected values for the accumulated value of a cash investment (see, e.g., James and Webber 2000, p. 231).”