Efficient methods for valuing interest rate derivatives

Antoon Pelsser

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.

「Nielsen BookData」より

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.

「Nielsen BookData」より

[目次]

  • 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.

「Nielsen BookData」より

[目次]

  • 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.

「Nielsen BookData」より

この本の情報

書名 Efficient methods for valuing interest rate derivatives
著作者等 Pelsser Antoon
シリーズ名 Springer finance
出版元 Springer
刊行年月 c2000
版表示 Softcover reprint of hardcover 1st ed. 2000
ページ数 xii, 172 p.
大きさ 24 cm
ISBN 9781849968614
9781852333041
NCID BA48197087
※クリックでCiNii Booksを表示
言語 英語
出版国 イギリス
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