| Description |
172 pages : illustrations ; 24 cm |
| Series |
Springer finance |
|
Springer finance.
|
| Contents |
1. Introduction -- 2. Arbitrage, Martingales and Numerical Methods -- Pt. I. Spot and Forward Rate Models -- 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 -- Pt. II. Market Rate 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 |
| Summary |
"Efficient Methods for Valuing Interest Rate Derivatives 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 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 the practical issues, such as the implementation of models, and model selection. The aim is to demystify the whole process through using examples of products that are actually traded on the market." |
|
"The clear, concise and methodical approach of this book will appeal to both the academic and professional reader. Aimed at people with a solid quantitative background, it 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."--BOOK JACKET |
| Bibliography |
Includes bibliographical references and index |
| Subject |
Interest rate futures -- Mathematical models.
|
|
Derivative securities -- Mathematical models.
|
|
Derivative securities.
|
| LC no. |
00033821 |
| ISBN |
1852333049 alkaline paper |
|
