Efficient Methods for Valuing Interest Rate Derivatives
(Sprache: Englisch)
This book provides an overview of the models that can be used for valuing and managing interest rate derivatives. Split into two parts, the first discusses and compares the traditional models, such as spot- and forward-rate models, while the second...
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This book provides an overview of the models that can be used for valuing and managing interest rate derivatives. Split into two parts, the first discusses and compares the traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently developed Market models. Unlike most of his competitors, the author's focus is not only on the mathematics: Antoon Pelsser draws on his experience in industry to explore a host of practical issues.
Klappentext zu „Efficient Methods for Valuing Interest Rate Derivatives “
This book provides an overview of the models that can be used for valuing and managing interest rate derivatives. Split into two parts, the first discusses and compares the traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently developed Market models. Unlike most of his competitors, the author's focus is not only on the mathematics: Antoon Pelsser draws on his experience in industry to explore a host of practical issues.
Inhaltsverzeichnis zu „Efficient Methods for Valuing Interest Rate Derivatives “
1. Introduction.- 2. Arbitrage, Martingales and Numerical Methods.- 3. Spot and Forward Rate Models.- 4. Fundamental Solutions and the Forward-Risk-Adjusted Measure.- 5. The Hull-White Model.- 6. The Squared Gaussian Model.- 7. An Empirical Comparison of One-Factor Models.- 8. LIBOR and Swap Market Models.- 9. Markov-Functional Models.- 10. An Empirical Comparison of Market Models.- 11. Convexity Correction.- 12. Extensions and Further Developments.- References.
Bibliographische Angaben
- Autor: Antoon Pelsser
- 2000, 172 Seiten, Maße: 16 x 24,1 cm, Gebunden, Englisch
- Verlag: Springer, London
- ISBN-10: 1852333049
- ISBN-13: 9781852333041
- Erscheinungsdatum: 31.07.2000
Sprache:
Englisch
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