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The New Interest Rate Models : Recent Developments in the theory and Application of Yield Curve Dynamics

Editore: Risk Books, 2000
ISBN 10: 1899332979 / ISBN 13: 9781899332977
Usato / Quantità: 1
Da Nearfine Books (Brooklyn, NY, U.S.A.)
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Titolo: The New Interest Rate Models : Recent ...

Casa editrice: Risk Books

Data di pubblicazione: 2000

Condizione libro: very good


Gently used. Expect delivery in 2-3 weeks. Codice inventario libreria 9781899332977-3

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Riassunto: This work is a comprehensive collection that looks at the development of interest-rate models from 1992 to 2000. It covers interest-rate analysis in the light of increased computer power, investigates simulation processes such as random walks and Monte Carlo simulation, and details the development of three new ineterest-rate model types including the Markov decision process, extensions and generalizations to the Heath-Jarrow-Morton model and market models. The book also makes accessible advanced models that enable modellers to "complete the market" more efficiently when calculating interest rate securities and options' portfolios.

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Libreria: Nearfine Books
Indirizzo: Brooklyn, NY, U.S.A.

Libreria AbeBooks dal: 13 giugno 2014
Valutazione libreria: 4 stelle

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Descrizione libreria: Nearfine Books is a bookseller specialised in hard-to-find and out-of-print titles. We are based in London and New York.