Efficient Methods for Valuing Interest Rate Derivatives

Efficient Methods for Valuing Interest Rate Derivatives

Antoon Pelsser

48,34 €
IVA incluido
Disponible
Editorial:
Springer Nature B.V.
Año de edición:
2014
ISBN:
9781447138891
48,34 €
IVA incluido
Disponible

Selecciona una librería:

  • Librería Samer Atenea
  • Librería Aciertas (Toledo)
  • Kálamo Books
  • Librería Perelló (Valencia)
  • Librería Elías (Asturias)
  • Donde los libros
  • Librería Kolima (Madrid)
  • Librería Proteo (Málaga)
Sobre IBD

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.

Artículos relacionados

  • BEYOND THE TRIANGLE
    Kei Kobayashi / Marjorie Hahn / MARJORIE HAHN & KEI KOBAYA SABIR UMAROV / Sabir Umarov / UMAROV SABIR
     The book is devoted to the fundamental relationship between three objects: a stochastic process, stochastic differential equations driven by that process and their associated Fokker–Planck–Kolmogorov equations. This book discusses wide fractional generalizations of this fundamental triple relationship, where the driving process represents a time-changed stochastic process; the...
  • Topics in Mathematical Modeling
    K. K. Tung / Ka-Kit Tung
    Topics in Mathematical Modeling is an introductory textbook on mathematical modeling. The book teaches how simple mathematics can help formulate and solve real problems of current research interest in a wide range of fields, including biology, ecology, computer science, geophysics, engineering, and the social sciences. Yet the prerequisites are minimal: calculus and elementary ...
  • The Fascinating World of Graph Theory
    Arthur Benjamin / Gary Chartrand / Ping Zhang
    The history, formulas, and most famous puzzles of graph theoryGraph theory goes back several centuries and revolves around the study of graphs-mathematical structures showing relations between objects. With applications in biology, computer science, transportation science, and other areas, graph theory encompasses some of the most beautiful formulas in mathematics-and some of i...
    Disponible

    27,44 €

  • Dr. Euler’s Fabulous Formula
    Paul J. Nahin / Paul Nahin
    In the mid-eighteenth century, Swiss-born mathematician Leonhard Euler developed a formula so innovative and complex that it continues to inspire research, discussion, and even the occasional limerick. Dr. Euler’s Fabulous Formula shares the fascinating story of this groundbreaking formula-long regarded as the gold standard for mathematical beauty-and shows why it still lies at...
    Disponible

    31,49 €

  • ASPECTS OF COMPUTATION AND AUTOMATA THEORY WITH APPLICATIONS
    GREENBERG NOAM / SANJAY JAIN KENG MENG N NOAM GREENBERG
    This volume results from two programs that took place at the Institute for Mathematical Sciences at the National University of Singapore: Aspects of Computation - in Celebration of the Research Work of Professor Rod Downey (21 August to 15 September 2017) and Automata Theory and Applications: Games, Learning and Structures (20-24 September 2021).The first program was dedicated ...
  • Stability and Control of Large-Scale Dynamical Systems
    Sergey G. Nersesov / Wassim M. Haddad
    Modern complex large-scale dynamical systems exist in virtually every aspect of science and engineering, and are associated with a wide variety of physical, technological, environmental, and social phenomena, including aerospace, power, communications, and network systems, to name just a few. This book develops a general stability analysis and control design framework for nonli...

Otros libros del autor

  • Efficient Methods for Valuing Interest Rate Derivatives
    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 ...
    Disponible

    159,01 €