Building and Using Dynamic Interest Rate Models

The authors present a novel new approach to pricing interest rate securities. (The book) is well written and is easy to follow and understand. It's a must read for those interested and involved in fixed income security valuation. -- William T. Ziemba, Alumni Professor of Financial Modeling and Stochastic Optimization, University of British Columbia

"Kortanek and Medvedev's book presents an interesting approach to the individualisation of the models for the Yield Curve and for the Spot Rate by means of dynamic systems. This approach supplies an innovative calculation methodology for obtaining numeric solutions in certain important financial applications. I believe that these models can be considered a worthwhile instrument, "complementary" to the models based on stochastic equations." -- Professor G. Olivieri, Luiss "Guido Carli" University, Rome

Building and Using Dynamic Interest Rate Models provides a new approach to modeling the term structure of interest rates. Based on the rich history of work in control theory and the optimization of systems under uncertainty, the authors set out to develop a new class of models of this type for the term structure of interest rates. Designed to complement the stochastic processes approach, the authors provide both the theory and the practical modeling and computer implementation needed to successfully build and use term structure models. The book presents results on serious testing using software for predicting the spot rate, the forward rate and the entire interest rate yield surface based on observations taken during an arbitrarily specified time period.

Building and Using Dynamic Interest Rate Models is ideal reading for those involved in the fixed income securities markets, with an expanded view towards forecasting future commodity prices and volatilities.