Efficient Methods for Valuing Interest Rate Derivatives

Antoon Pelsser

ISBN 10: 1852333049 / ISBN 13: 9781852333041

Editore: Springer London, Springer London, 2000

Riguardo questo articolo

Druck auf Anfrage Neuware - Printed after ordering - 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 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 the practical issues, such as the implementation of models, and model selection.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.

Codice articolo 9781852333041

Dati bibliografici

• Titolo: Efficient Methods for Valuing Interest Rate Derivatives
• Editore: Springer London, Springer London
• Data di pubblicazione: 2000
• Lingua: Inglese
• ISBN 10: 1852333049
• ISBN 13: 9781852333041
• Rilegatura: Buch
• Condizione: Neu
• Dimensioni: 241 L x 160 A x 16 P (millimetri) 241 millimetri di larghezza per 160 millimetri di altezza per 16 millimetri di profondità
• Peso: 451 grammi

Descrizione articolo

Riassunto

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 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 the practical issues, such as the implementation of models, and model selection.
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.

Contenuti

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.