Efficient methods for valuing interest rate derivatives
Author(s)
Bibliographic Information
Efficient methods for valuing interest rate derivatives
（Springer finance）
Springer, c2000
- : softcover
Available at / 35 libraries
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Library, Research Institute for Mathematical Sciences, Kyoto University数研
PEL||8||1200003619121
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Note
"Softcover reprint of the hardcover 1st edition 2000"--T.p. verso
Bibliography: p. [163]-166
Includes index
Description and Table of Contents
Description
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.
Table of Contents
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.
by "Nielsen BookData"