Author | Pelsser, Antoon. author |
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Title | Efficient Methods for Valuing Interest Rate Derivatives [electronic resource] / by Antoon Pelsser |
Imprint | London : Springer London : Imprint: Springer, 2000 |
Connect to | http://dx.doi.org/10.1007/978-1-4471-3888-4 |
Descript | XII, 172 p. 3 illus. online resource |
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