E-Book, Englisch, 172 Seiten, eBook
Reihe: Springer Finance
Pelsser Efficient Methods for Valuing Interest Rate Derivatives
Erscheinungsjahr 2013
ISBN: 978-1-4471-3888-4
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
E-Book, Englisch, 172 Seiten, eBook
Reihe: Springer Finance
ISBN: 978-1-4471-3888-4
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
Aimed at people with a solid quantitative background, this book will be of particular interest to risk managers, interest rate derivative traders, quantitative researchers, portfolio and fund managers, and students of mathematics and economics, but it will also prove invaluable to anyone looking for a good overview of interest rate derivative modelling.
Zielgruppe
Professional/practitioner
Autoren/Hrsg.
Weitere Infos & Material
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.