Interest Rate Modeling. Volume 1Author :
Hardback
Published : Saturday 6 February 2010
Description
The three volumes of Interest Rate Modeling present a comprehensive and up-to-date treatment of techniques and models used in the pricing and risk management of fixed income securities. Written by two leading practitioners and seasoned industry veterans, this unique series combines finance theory, numerical methods, and approximation techniques to provide the reader with an integrated approach to the process of designing and implementing industrial-strength models for fixed income security valuation and hedging. Aiming to bridge the gap between advanced theoretical models and real-life trading applications, the pragmatic, yet rigorous, approach taken in this book will appeal to students, academics, and professionals working in quantitative finance. Volume I provides the theoretical and computational foundations for the series, emphasizing the construction of efficient grid- and simulation-based methods for contingent claims pricing. The second part of Volume I is dedicated to local-stochastic volatility modeling and to the construction of vanilla models for individual swap and Libor rates. Although the focus is eventually turned toward fixed income securities, much of the material in this volume applies to generic financial markets and will be of interest to anybody working in the general area of asset pricing.
You may also like ...
by
Hardback
17 Aug 2010
Investment and securities
€80.73
Extended stock – Dispatch 5-7 days
by
Hardback
06 Feb 2010
Investment and securities
€80.73
Extended stock – Dispatch 5-7 days
by
Paperback
31 Dec 1984
Private or civil law: general
€53.94
Extended stock – Dispatch 5-7 days
by
Hardback
31 May 2024
Development studies
€77.16
Extended stock – Dispatch 5-7 days
Reviews