---

＜電子ブック＞
Efficient Methods for Valuing Interest Rate Derivatives / by Antoon Pelsser
(Springer Finance. ISSN:21950687)

版	1st ed. 2000.
出版者	(London : Springer London : Imprint: Springer)
出版年	2000
本文言語	英語
大きさ	XII, 172 p. 3 illus : online resource
著者標目	*Pelsser, Antoon author SpringerLink (Online service)
件　名	LCSH:Social sciences -- Mathematics  全ての件名で検索 FREE:Mathematics in Business, Economics and Finance
一般注記	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 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 HTTP:URL=https://doi.org/10.1007/978-1-4471-3888-4

 類似資料