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Efficient Methods for Valuing Interest Rate Derivatives Antoon Pelsser

Efficient Methods for Valuing Interest Rate Derivatives By Antoon Pelsser

Efficient Methods for Valuing Interest Rate Derivatives by Antoon Pelsser


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Summary

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.

Efficient Methods for Valuing Interest Rate Derivatives Summary

Efficient Methods for Valuing Interest Rate Derivatives by 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.

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.

Additional information

NPB9781852333041
9781852333041
1852333049
Efficient Methods for Valuing Interest Rate Derivatives by Antoon Pelsser
New
Hardback
Springer London Ltd
2000-07-31
172
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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