Efficient Methods for Valuing Interest Rate Derivatives

Name: Efficient Methods for Valuing Interest Rate Derivatives
Author: Antoon Pelsser

Gebonden Engels 2000 2000e druk 9781852333041

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Samenvatting

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.

Specificaties

ISBN13:9781852333041

Taal:Engels

Bindwijze:gebonden

Aantal pagina's:172

Uitgever:Springer London

Druk:2000

Hoofdrubriek:Financieel management, Financieel management

Serie:Springer Finance

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Inhoudsopgave

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.